Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
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DOI：
10.2202/1558-3708.1614
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发表时间：
2009-01
影响因子：
0.8
通讯作者：
S. Choi
中科院分区：
文献类型：
--
作者：
S. Choi
本文提出了一个一般的机制转换单变量扩散模型来描述短期利率的动态变化。最大似然估计是使用美国三个月期国库券利率的每周序列获得的。估计结果表明，有强有力的证据表明，存在高，低波动率制度，为时变的过渡概率的制度变量，和高持久性的两个制度。在这两种制度下，波动率，但不是漂移，估计准确，并在解释利率的动态起着关键作用。两种制度的高持续性和不同的波动率可以很好地解释数据中观察到的波动聚集现象。根据推断的概率的过程中，在每个政权，大多数的高波动期对应于一些历史事件。基于似然性的测试表明，错误的规格可能会导致误导性的结果，特别是关于波动性和过渡概率的政权指数。
This article proposes a general regime-switching univariate diffusion model to describe the dynamics of the short-term interest rate. The maximum likelihood estimates are obtained using the weekly series of U.S. three-month treasury bill rates. The estimation results reveal that there are strong evidences for the existence of high and low volatility regimes, for the time varying transition probability of the regime variable, and for the high persistence of both regimes. In both regimes, the volatility, but not the drift, is estimated accurately and plays a key role in explaining the dynamics of the interest rates. High persistence's and different volatilities of two regimes can well explain volatility clustering observed in the data. Based on the inferred probability of the process being in each regime, most of the high volatility periods correspond to some historic events. The likelihood-based test shows that misspecification can result in misleading outcomes particularly regarding the volatility and transition probabilities of the regime index.