Fractional integration and the volatility of UK interest rates

Simeon Coleman (s.coleman@lboro.ac.uk) and Kavita Sirichand (k.sirichand@lboro.ac.uk)

No 11/29, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: Using fractional integration and GARCH modeling techniques, this paper investigates the dynamic properties of UK interest rates. We find evidence that, contrary to previous studies for the US and Canada, short rates are more nonstationary compared to longer rates. Further, differences in conditional volatility exist between rates of different maturities. We posit that the dynamics of interest rates may be both maturity-specific and country-specific and any a priori generalizing assumptions may be misleading.

Keywords: Fractional integration; Interest rates; Conditional volatility (search for similar items in EconPapers)
JEL-codes: C22 E43 (search for similar items in EconPapers)
Date: 2011-05, Revised 2011-05
References: View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Fractional integration and the volatility of UK interest rates (2012)
Working Paper: Fractional integration and the volatility of UK interest rates (2011)
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