Modelo de cascada sigma variante para la estructura a término de tasas de interés en Colombia
| Autor: | López Rodríguez, Laura Natalia |
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| Přispěvatelé: | Serrano, Rafael |
| Jazyk: | Spanish; Castilian |
| Rok vydání: | 2019 |
| Předmět: | |
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| DOI: | 10.48713/10336_19898 |
| Popis: | El presente estudio contrasta dos modelos de cascada recursiva para determinar las dinámicas de la estructura a término de las tasas de interés en Colombia, estos modelos poseen factores heterogéneamente persistentes que revierten en media al factor inmediatamente anterior. Bajo ciertas especificaciones, el número de parámetros es invariante al número de factores de las cascadas. El modelo estándar posee un supuesto en su volatilidad que la hace siempre constante, mientras que el modelo sigma variante (SV), evaluado en este documento, relaja este supuesto dándole una estructura que depende de la dimensión de la cascada. Ambos modelos presentan fluctuaciones en los valores de los parámetros ante aumentos en la dimensión de la cascada. En el ajuste en la muestra el modelo estándar posee más estabilidad en los resultados, pero el modelo SV en ciertas dimensiones (número de factores) tiene mejor ajuste. En el pronóstico por fuera de la muestra, ambos modelos poseen un bajo desempeño comparado con una caminata aleatoria, sin embargo, el modelo SV parece ser más consistente en resultados en la muestra y por fuera de la muestra que el estándar. En general, puede ser más valioso elegir un modelo de al menos 3 factores para el ajuste y pronóstico de la curva yield colombiana, aunque se tiene que ser cuidadoso en su elección. The present study contrasts two recursive cascade models to determine the dynamics of the term structure of interest rates in Colombia, these models have heterogeneously persistent factors that mean-revert to the immediately preceding factor. Under certain specifications, the number of parameters is invariant to the number of factors in the cascades. The standard model has an assumption in its volatility that makes it always constant, while the sigma variant model (SV) relaxes this assumption giving it a structure that depends on the cascade's size. Both models show fluctuations in the values of the parameters when increases the cascade's size. In the in-sample fit, the standard model shows more stability in the results, but the SV model in certain dimensions (number of factors) has a better fit. In the out-of-sample forecast, both models have a low performance compared to a random walk, but the SV model seems to be more consistent in sample and out-of-sample than the standard model. In general, it may be more valuable to choose a model with at least three factors for the adjustment and forecast of the Colombian yield curve, although it must be a meticulous choice. |
| Databáze: | OpenAIRE |
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