University of Illinois Urbana-Champaign

Modeling the Volatility of the Heath-Jarrow-Morton Model: A Multi-Factor GARCH Analysis

Zhou, Anjun

Content Files
ofor00-05.pdf

Permalink

https://hdl.handle.net/2142/4017

Description

Title
Modeling the Volatility of the Heath-Jarrow-Morton Model: A Multi-Factor GARCH Analysis
Author(s)
Zhou, Anjun
Issue Date
2000-08
Keyword(s)
  • forward rate volatility
  • HJM model
Date of Ingest
2008-03-17T19:41:57Z
Abstract
Based on the nonparametric study of Pearson and Zhou (1999), a parametric HJM model is developed for the forward rate volatility. It allows the volatility of the forward rate with different maturities to react in a different way with the level of forward rate and the forward spread. Specifically, the proposed forward rate volatility function is imbedded into GARCH family models and compared with several widely used HJM volatility specifications. It is shown that the proposed volatility specification performs the best. It is also confirmed that the volatility of forward rate with different maturities depends on the forward rate and the forward spread in a different way.
Publisher
Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign
Series/Report Name or Number
OFOR Working Paper Series, no. 00-05
Type of Resource
text
Genre of Resource
Working / Discussion Paper
Language
en
Permalink
http://hdl.handle.net/2142/4017

Owning Collections

OFOR Working Paper Series PRIMARY