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An Empirical Analysis of the Stochastic Behaviour of Short‐Term Interest Rates in Singapore
Author(s) -
Tse Y.K.
Publication year - 1998
Publication title -
asian economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.345
H-Index - 28
eISSN - 1467-8381
pISSN - 1351-3958
DOI - 10.1111/1467-8381.00050
Subject(s) - mean reversion , heteroscedasticity , economics , econometrics , vasicek model , interest rate , log normal distribution , term (time) , rendleman–bartter model , statistics , mathematics , volatility (finance) , macroeconomics , physics , quantum mechanics
This paper examines the stochastic behaviour of short‐term interest rates in Singapore. We consider the following models of interest‐rate structure: the lognormal model, the stable Paretian model and the mean‐reversion model. Data on the three‐month interbank rates are analysed. The mean‐reversion model with conditional heteroscedasticity appears to fit the data adequately.