Modeling interest rate volatility: an extended EGARCH approach
Gregory Koutmos
Abstract
Gregory Koutmos
Abstract
Purpose – This paper aims to propose a general, yet simple model to estimate interest rate volatility.
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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