Revista Ingenierías Universidad de Medellín
versão impressa ISSN 1692-3324
BOTERO RAMIREZ, Juan Carlos e RAMIREZ HASSAN, Andrés. SHORT TERM INTEREST RATE VOLATILITY: AN EXERCISE FOR COLOMBIAN ECONOMY, 2001-2006. Rev. ing. univ. Medellin [online]. 2007, vol.6, n.11, pp. 149-170. ISSN 1692-3324.
In this paper, we analyze different methodologies that are used to handle short term interest rate volatility. Specifically, we shall analyze the outcomes that are obtained through three specifications: CKLS, Conditional Heteroscedastic and BHK. The evidence shows that the best specification is reached through the EGARCH model. It is found that positive shocks in the short term interest rate cause a volatility 22.3% higher than negative shock of the same size. Also, the process converges to an unconditioned mean of 7.11% with a correction factor of 1.2% daily. It is found that the model offers good forecast in a period of three months.
Palavras-chave : Short term interest rate; CKLS Models; Conditional Heteroscedastic Models; BHK Models.