动态期限结构模型中的波动建模

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE Journal of Financial Economics Pub Date : 2024-08-30 DOI:10.1016/j.jfineco.2024.103926
Hitesh Doshi , Kris Jacobs , Rui Liu
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引用次数: 0

摘要

我们提出了具有遵循 GARCH 过程的波动因子的无套利期限结构模型。这些模型的可操作性与典型仿射期限结构模型相似,但它们对收益率波动的拟合效果更好,尤其是对长期收益率的拟合效果。这种改进并不以收益率拟合度的下降为代价。由于波动率拟合度的提高,该模型在国债期货期权定价方面的表现要好得多。我们的结论是,波动率因子的规范至关重要。将波动率作为因子(滞后)创新平方的函数建模比将波动率作为因子的线性函数建模更有 效。
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Modeling volatility in dynamic term structure models

We propose no-arbitrage term structure models with volatility factors that follow GARCH processes. The models’ tractability is similar to canonical affine term structure models, but they fit yield volatility much better, especially for long-maturity yields. This improvement does not come at the expense of a deterioration in yield fit. Because of the improved volatility fit, the model performs substantially better in pricing Treasury futures options. We conclude that the specification of the volatility factors is critical. Modeling volatility as a function of (lagged) squared innovations to factors improves on models where volatility is a linear function of the factors.

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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
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