2012•Managerial FinanceRequires access

Modeling interest rate volatility: an extended EGARCH approach

Gregory Koutmos

Open publisher page 4 citations

Abstract

Purpose – This paper aims to propose a general, yet simple model to estimate interest rate volatility.

About this research paper

What this paper is about

Purpose – This paper aims to propose a general, yet simple model to estimate interest rate volatility.

Why it matters

OpenAlex reports 4 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

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Method / approach

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Available abstract

Purpose – This paper aims to propose a general, yet simple model to estimate interest rate volatility.

Key concepts: Volatility (finance), Interest rate, Econometrics, Rendleman–Bartter model, Economics, SABR volatility model, Short-rate model, Implied volatility

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