Modelling Interest Rates with a Cointegrated VAR-GARCH Model.

We use a Bivariate VAR model to model and predict the joint evolution of short term and long term interest rates. We introduce a GARCH effect on the innovations of the model in order to account for the changing vlatility of the series. We test the cointegration of the two interest rates, which is implied by a present value relation between the rates.

MoreLess

Year of publication:	1997
Authors:	Bauwens, L. ; Deprins, D. ; Vandeuren, J-P.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	ECONOMETRICS

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634100