CONDITIONAL VOLATILITY OF COLOMBIAN GOVERNMENTAL FIXED INCOME SECURITIES AS A PREDICTOR OF SHORT-TERM RETURNS VOLATILIDAD CONDICIONAL DE LOS TÍTULOS DE RENTA FIJA DEL GOBIERNO COLOMBIANO COMO PREDICTOR DE LOS RETORNOS DE CORTO PLAZO

CONDITIONAL VOLATILITY OF COLOMBIAN GOVERNMENTAL FIXED INCOME SECURITIES AS A PREDICTOR OF SHORT-TERM RETURNS VOLATILIDAD CONDICIONAL DE LOS TÍTULOS DE RENTA FIJA DEL GOBIERNO COLOMBIANO COMO PREDICTOR DE LOS RETORNOS DE CORTO PLAZO

According to literature, the long-maturity forward rates have information about the structure of the expected short-term returns. This paper finds that the conditional volatility factor also has information for predicting the term premium in the six-month expected returns with different maturities....

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Bibliographic Details
Main Author: Javier O Pantoja
Format: Article
Language:English
Published: Universidad EIA 2008-12-01
Series:Revista EIA
Subjects:
volatilidad condicional
estructura de retornos de corto plazo
tasas de interés futuras
modelos GARCH
prima de riesgo
títulos gubernamentales de renta fija
conditional volatility
short term return structure
forward rates
GARCH models
term premium
governmental fixed income securities
Online Access:http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S1794-12372008000200007

Internet

http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S1794-12372008000200007

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