2012 Fiscal Year Final Research Report
Introduction of stochastic volatility into term structure models and its economic evaluation
| Project/Area Number |
23730212
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
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| Project Period (FY) |
2011 – 2012
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| Keywords | 金利期間構造 / イールドカーブ / ボラティリティ |
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| Research Abstract |
It has been known that the introduction of stochastic volatility into term structure models is not straightforward. Based on this issue, the main achievements of this research are to find (1) a way to make the introduction more effective for improving the descriptive power of models, and (2) that the dynamics of interest rate volatility estimated with and without imposing no-arbitrage conditions do not much differ. By these findings, an economic evaluation of the introduction can be feasible using various types of models.
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