Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models

被引：0

作者：

Hans Boscher

Eva-Maria Fronk

Iris Pigeot

机构：

[1] Deutsche Australia Ltd. OIC Derivatives Grosvenor Place,Institute of Statistics

[2] University of Munich,undefined

来源：

Statistical Papers | 2000年 / 41卷

关键词：

GARCH; Markov chain Monte Carlo; stochastic volatility; swap rates; C11; C15; C53; 62F15; 62M20; 62P20; 65C05;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper, we compare the forecast ability of GARCH(1,1) and stochastic volatility models for interest rates. The stochastic volatility is estimated using Markov chain Monte Carlo methods. The comparison is based on daily data from 1994 to 1996 for the ten year swap rates for Deutsch Mark, Japanese Yen, and Pound Sterling. Various forecast horizons are considered. It turns out that forecasts based on stochastic volatility models are in most cases superiour to those obtained by GARCH(1,1) models.

引用

页码：409 / 422

页数：13

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