An econometric approach for the estimation of the Mexican yield curves volatility index
In this paper a methodology is proposed to measure volatility in Mexican yield curves, including the nominal, real, and swap rates. To obtain the volatility, the GARCH model was used to estimate the volatilities of the first three main principal components of each yield curve. The GARCHs obtained of...
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| Vydáno v: | Contaduría y Administración |
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| Hlavní autoři: | , , |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Universidad Nacional Autónoma de México
2020
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| Témata: | |
| On-line přístup: | https://www.redalyc.org/articulo.oa?id=39571743012 https://www.redalyc.org/journal/395/39571743012/ https://www.redalyc.org/journal/395/39571743012/html/ https://www.redalyc.org/journal/395/39571743012/39571743012.epub https://www.redalyc.org/journal/395/39571743012/movil |
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