Predicting Interest Rate Volatility Using Information on the Yield Curve
Predicting Interest Rate Volatility Using Information on the Yield Curve
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使用收益率曲线信息预测利率波动
DOI：
10.1111/irfi.12053
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发表时间：
2015
影响因子：
1.7
通讯作者：
Hideyuki Takamizawa
中科院分区：
文献类型：
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作者：
篠原正博・大澤俊一・山下耕治編;山田直夫・高松慶裕 他;証券経済研究会(編);中村恒;Hideyuki Takamizawa
本研究考察了收益率曲线上的信息是否有助于预测收益率曲线的波动性。通过将产量因素变化的协方差矩阵指定为这些因素的非线性函数，可以在动态模型中使用这些信息。使用这些模型，发现信息(i)对预测斜率因子的波动率有用，达到与GARCH模型相当的精度；（ii）当与特定波动因子结合时，曲率因子对预测波动具有增量价值；并且（iii）在引入特定波动因子后，对水平因子波动率的预测没有太大改善。
This study examines whether information on the yield curve is useful for predicting volatility of the yield curve. The information is used within dynamic models by specifying the covariance matrix of changes in yield factors as nonlinear functions of the factors. Using such models, it is found that the information (i) is useful for predicting volatility of the slope factor, achieving the accuracy comparable with the GARCH model; (ii) has incremental value for predicting volatility of the curvature factor when combined with a volatility‐specific factor; and (iii) does not much improve prediction of volatility of the level factor once the volatility‐specific factor is introduced.