Stochastic volatility

Kamakura Releases New Stochastic Volatility Model for U.S. Treasuries

Retrieved on: 
星期三, 四月 24, 2019

NEW YORK, April 24, 2019 /PRNewswire/ -- Kamakura Corporation has released a new 10-factor term structure model for the U.S. Treasury yield curve for Kamakura Risk Manager and Kamakura Risk Information Services subscribers.

Key Points: 
  • NEW YORK, April 24, 2019 /PRNewswire/ -- Kamakura Corporation has released a new 10-factor term structure model for the U.S. Treasury yield curve for Kamakura Risk Manager and Kamakura Risk Information Services subscribers.
  • The menu of options includes 1-, 2-, 3-, 6-, and 10- factor models featuring both constant ("affine") interest rate volatility and stochastic volatility.
  • The best-fitting model is the stochastic volatility 10-factor, which is benchmarked on daily data from the U.S. Department of the Treasury from January 2, 1962 through December 31, 2018.
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    Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing, and software.