Beuermann, Diether; Antoniou, Antonios; Bernales, Alejandro - EconWPA - 2005
“level effect” of Chan, Karolyi, Longstaff and Sanders (1992a) and the conditional heteroskedasticity effect of GARCH type … models. Our findings suggest that including a GARCH effect in the specification of the conditional variance, almost halves … (1975), with an added GARCH effect, provides a reliable description of short-rate dynamics. We demonstrate that the most …