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Prognose von Zinsvolatilitäten mit Regime-Switching-Modellen: Eine empirische Analyse des Euro-DM-Geldmarktes

Prognose von Zinsvolatilitäten mit Regime-Switching-Modellen: Eine empirische Analyse des Euro-DM-Geldmarktes
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Year:    1998

Author:    Ahrens, Ralf

Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 3 : pp. 370–399

Abstract

Predicting Interest Rate Volatility with Regime-Switching Models: An Empirical Analysis of the Euro-Deutschmark Money Market

This contribution analyses the usefulness of the Generalized Regime-Switching-(GRS)-Model proposed by Gray (1996a, 1996b) for modelling and forecasting interest rate volatility in the Euro-Deutschmark money market. The theoretical part of the contribution begins by introducing the GRS model. It turns out that many known models such as GARCH and Markov switching may be regarded as a restricted variant of the GRS model. An empirical comparison with the traditional approaches shows that the GRS model is the superior option for describing the dynamics of the interest rate volatility of both one-month and three-month money. Moreover, one-step forecasts suggest a good out-of-sample performance of the GRS model. Irrespective of the GRS model's complexity, its recursive representation allows it to be implemented easily.

Journal Article Details

Publisher Name:    Global Science Press

Language:    Multiple languages

DOI:    https://doi.org/10.3790/ccm.31.3.370

Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 3 : pp. 370–399

Published online:    1998-03

AMS Subject Headings:    Duncker & Humblot

Copyright:    COPYRIGHT: © Global Science Press

Pages:    30

Author Details

Ahrens, Ralf

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Section Title Page Action Price
Ralf Ahrens: Prognose von Zinsvolatilitäten mit Regime-\rSwitching-Modellen: Eine empirische Analyse\rdes Euro-DM-Geldmarktes 370
I. Einleitung 370
II. Alternative Ansätze zur Modellierung von Zinsvolatilitäten 372
1. Diskrete Diffusionsmodelle 372
2. GARCH-Modelle 373
3. Verallgemeinertes Regime-Switching-(GRS-)Modell 374
III. Empirische Ergebnisse 378
1. Die Daten 378
2. Ergebnisse der GARCH-Modellschätzungen 379
3. Ergebnisse der Markov-Switching-Modellschätzungen 383
4. Ergebnisse der GRS-Modellschätzungen 384
IV. Volatilitätsprognosen 393
V. Zusammenfassung und Schlußfolgerung 396
Literatur 396
Zusammenfassung: Prognose von Zinsvolatilitäten mit Regime-Switching-Modellen: Eine empirische Analyse des Euro-DM-Geldmarktes 398
Summary: Predicting Interest Rate Volatility with Regime-Switching Models: An Empirical Analysis of the Euro-Deutschmark Money Market 398
Résumé: Prévision des volatilités des taux d'intérêt avec des modèles de Regime Switching: une analyse empirique du marché monétaire de l'Euro-DM 399