La volatilidad de la tasa de interés a corto plazo : un ejercicio para la economía colombiana, 2001–2006

Abstract

In this paper we analyze different methodologies that are used to handle the 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 better 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. Finally, it is analyzed the stability of the parameters associated to the selected model and the model’s forecast. It is found that the model offers good forecast in a period of three months.