Are levels effects important in out-of-sample performance of short rate models?

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 99
Issue: 1
Pages: 181-184

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper derives short-term interest rate volatility forecasts from various interest rate models. While models that specify both GARCH and levels effects are superior in their forecasts accuracy, they systematically under predict interest rate volatility more frequently than simple short rate models.

Technical Details

RePEc Handle
repec:eee:ecolet:v:99:y:2008:i:1:p:181-184
Journal Field
General
Author Count
1
Added to Database
2026-01-29