Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets

• 成果类型: Article
• 署名作者: Jacobs, Kris; Karoui, Lotfi
• 署名单位: McGill University; Tilburg University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.02.006
• 发表日期: 2009
• 页码: 288-318
• 关键词: Term-structure model; Affine; Interest rate swap; treasury market; Conditional volatility; Time Series; cross-section; EGARCH

摘要

We study the ability of three-factor affine term-structure models to extract conditional volatility using interest rate swap yields for 1991-2005 and Treasury yields for 1970-2003. For the Treasury sample, the correlation between model-implied and EGARCH volatility is between 60% and 75%. For the swap sample, this correlation is rather low or negative. We find that these differences in model performance are primarily due to the timing of the swap sample, and not to institutional differences between swap and Treasury markets. We conclude that the ability of multifactor affine models to extract conditional volatility depends on the sample period, but that overall these models perform better than has been argued in the literature. (C) 2008 Elsevier B.V. All rights reserved.