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Title
Predicting Interest Rate Volatility: Using Information on the Yield Curve
Creator
Creator Name
Takamizawa, Hideyuki Takamizawa, Hideyuki
髙見澤, 秀幸 髙見澤, 秀幸
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Yield curve
Volatility
Level-dependence
Approximation of conditional moments
JEL
C58
E43
G12
G17
Abstract
This study examines whether information on the yield curve is useful for predicting volatility of the yield curve. The information is used within dynamic models by specifying the covariance matrix of changes in yield factors as nonlinear functions of the factors. Using such models, it is found that the information (1) is useful for predicting volatility of the slope factor, achieving the accuracy comparable to the GARCH model; (2) has incremental value for predicting volatility of the curvature factor when combined with a volatility-specific factor; (3) does not much improve prediction of volatility of the level factor once the volatility-specific factor is introduced.
Description
This version: May 8, 2015
Publisher
Hitotsubashi University Center for Financial Research
Issued Date
2015-05-08
Language
英語(eng)
Resource Type
technical report（テクニカルレポート）
Version Type
VoR
Relation - Is Part Of
Related Title
Working Paper Series ; No. G-1-9
Relation - Replaces
Related Identifier
HDL
  http://hdl.handle.net/10086/25350
Relation
Related Title
This is a revised version of http://hdl.handle.net/10086/25350
Number of Pages
53
Appears in Collections
Working Paper Series / Hitotsubashi University Center for Financial Research
URL
https://hdl.handle.net/10086/26943