RT Report
T1 A factor analysis of volatility across the term structure: the Spanish case
A1 Benito, Sonia
A1 Novales Cinca, Alfonso Santiago
AB We show how the term structure of volatilities for zero-cupon interest rates from the Spanish secondary debt market can be explained by a reduced number of factors. This factor representation can be used to produce time series volatilities across the whole term structure. As an alternative, volatilities can also be derived from a factor model for interest rates themselves. We find evidence contrary to the hypothesis that these two procedures lead to statistically equivalent time series, so that choosing the right model to estimate volatility is far from trivial. The volatility factor model fits univariate EGARCH volatility time series much better than the interest rate factor model does. However, observed differences seem to be of littleconsequence for VaR estimation on zero coupon bonds.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2005
FD 2005
LK https://hdl.handle.net/20.500.14352/56622
UL https://hdl.handle.net/20.500.14352/56622
LA eng
DS Docta Complutense
RD 10 abr 2025