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| Author: | Jacobs, K. Karoui, L. |
| Title: | Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets |
| Journal: | Journal of Financial Economics
2009 : MAR, VOL. 91:3, p. 288-318 |
| Index terms: | swaps market interest rates treasury bills markets volatility models time series models |
| Language: | eng |
| Abstract: | This paper explores the ability of 3-factor affine term-structure models to extract conditional volatility using interest rate swap (here as: S.) yields for 19912005 and Treasury (as: T.) yields for 19702003. For the T. sample, the correlation btw. model-implied and EGARCH volatility is from 60 to 75 percent. For the S. sample, this correlation is rather low or negative. These differences in model performance are found primarily be due to the timing of the swap sample, and not to institutional differences btw. S. and T. markets etc. |
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