A Factor-Dependent Interest Rate Model-A Combination of GARCH (1,1) and Varying Coefficient Model Approach

因子相依利率模型－結合GARCH（1,1）與變異性參數模型

盧嘉梧(Chia-Wu Lu) ； 廖咸興(Hsien-Hsing Liao) ； 陳宗岡(Tsung-Kang Chen) ； 林慧華(Hui-Hua Lin)

《證券市場發展季刊》 26卷1期 (2014/03) Pp. 1-30

https://doi.org/10.6529/RSFM.2014.26(1).1

摘要

本研究利用變異性參數模型與GARCH（1,1）模型兩者來建置「因子相依利率模型」，此模型可藉由利率參數的動態調整，來反映總體經濟因子的變動及利率波動的群聚效應。本研究以美國一個月期國庫券利率之月資料進行實證，結果發現：不論在何種形狀之利率期間結構（上升、下降或平坦）或不同的樣本估計期間，本文所提出之因子相依利率模型，皆能較固定參數模型具有更佳的預測效力。此外，本研究亦發現，利差變數對下降型態的利率期間結構具有較高的資訊內涵。

關鍵字

因子相依利率模型 ； 變異性參數模型 ； 利率波動群集效應

並列摘要

By integrating a varying coefficient model with a GARCH (1,1) model, this study develops a factor-dependent interest rate model framework which is able to dynamically adjust the parameters of the model to reflect both the changes of the factor of the macro-economy and the effects of volatility clustering. Using American one-month treasury rate, empirical results of this study show that the proposed factor-dependent models outperform fixed-parameter models in different shapes of term structure (downward-sloping, upward-sloping, and flat) and in different estimation periods. Additionally, this study also finds that the term-spread variable is more informative when term structure is downward-sloping.

並列關鍵字

Factor-Dependent Interest Model ； Varying Coefficient Model ； GARCH(1,1) ； Volatility Clustering Effects

參考文獻

Andersen, T.G. and J. Lund (1997), “Estimating Continuous-time Stochastic Models of the Short-Term Interest Rate,” Journal of Econometrics, Vol. 77, 343-377.

Bali, T.G. (2000), “Testing the Empirical Performance of Stochastic Volatility Models of the Short Term Interest Rates,” Journal of Financial and Quantitative Analysis, Vol. 35, 191-215.

Bali, T.G. and L. Wu (2006), “A Comprehensive Analysis of the Short-term Interest-rate Dynamics,” Journal of Banking and Finance, Vol. 30, 1269-1290.

Ball, C.A. and W. N. Torous (1999), “The Stochastic Volatility of Short-term Interest Rates: Some International Evidence,” Journal of Finance, Vol. 54, 2339-2359.

Bergstrom, A.R. (1984), Continuous time stochastic models and issues of aggregation over time, Z. Griliches and M. D. Intriligator, Eds.: Handbook of Econometrics, Vol. II (Elsevier Science, Amsterdam).