Agata Kliber , Paweł Kliber , Piotr Płuciennik

(Polish) PDF


In the article we verify the direction of impulse response between volatility of POLONIA rate and interbank interest rates. The authors concentrate especially on the power of POLONIA and WIBOR SW volatility impulses. POLONIA rate is controlled by Polish Central Bank since the beginning of 2008. As the conditional volatility of interest rates is unobservable, and the absence of intraday quotations prevent from estimation of realized volatility, we determine volatility using the GO-GARCH model introduced by Van der Weide in [25]. To identify impulses in variance series we use VAR model.


principal component analysis, impulse response function, multidimensional models of conditional variance, term structure of interest rates


[1] Alexander C.O., (2000), Orthogonal Methods for generationg Large Positive Semidefinite Covariance Matrices, ISMA Centre Disscussion Papers in Finance 2000-06, University of Reading, UK.

[2] Alexander C.O., (2001), Orthogonal GARCH in C.O. Alexander (ed.) Mastering Risk, 2, Financial Times Prentice Hall.

[3] Alexander C.O., Chibumba A., (1996), Multivariate orthogonal factor GARCH, University of Sussex Discussion Paper in Mathematics.

[4] Avouyi-Dovi S., Jondeau E., (1999), Interest Rate Transmission and Volatility Transmission along the Yield Curve, Janvier 1999 NER, 57.

[5] Boswijk H., van der Weide R., (2006), Wake me up before you GO-GARCH, UvA-Econometrics Discussion Paper 2006/03.

[6] Della Corte P., Sarno L., Thornton D.L., (2008), The Expectation Hypothesis of the Term Structure of very Short-Term Rates: Statistical Tests and Economic Value, Journal of Financial Economics, 89, s. 158-174.

[7] Della Corte P., Sarno L., Thornton D.L., (2009), Correlation Timing in Asset Allocation with Bayesian Learning, Working Paper.

[8] Elliott G., Rothenberg T.J., Stock J.H., (1996), Efficient Tests for Autoregressive Unit Roots, Econometrica 64(4), s. 813-836.

[9] Engle R., (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, s.987-1007.

[10] Engle R., (2002), Dynamic Conditional Correlation – a simple class of Multivariate GARCH models, Journal of Business and Economic Statistic, 20, s. 339-350.

[11] Engle R., Kroner F., (1995), Multivariate simultaneous generalized ARCH, Econometric Theory, 11, s. 122-150.

[12] Haffner C.M., Herwartz H., (1998), Volatility Impulse Response Functions for Multivariate GARCH Models, Core Discussion Paper 9847.

[13] Hassler U., Nautz D., (2008), On the Persistence of the Eonia Spread, Economics Letters, 101, s. 184-187.

[14] Klaassen F., (2000), Have Exchange Rates Become Mode Closely Tied? Evidence from a new Multivariate GARCH model, Centre for Economic Research discussion paper, University of Tilburg.

[15] Laurent S., (2009), G@RCH 6, Estimating and Forecasting ARCH Models, London: Timberlake Consultants Press.

[16] Nautz D., Offermanns C.J., (2007), The Dynamic Relationship Between the Euro Overnight Rate, the ECB’s Policy Rate and the Term Spread, Discussion Paper Series 1: Economic Studies 2006, 01, Deutsche Bundesbank, Research Centre.

[17] Osiewalski J., (2009), New Hybrid Models of Multivariate Volatility (a Bayesian Perspective) Przeglad Statystyczny, 56, s. 15-22.

[18] Osiewalski J., Pajor A., (2009), Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility, Central European Journal of Econometrics 2009 (2) s. 179-202.

[19] P´erez Quirós G., Rodriguez Mendiz´abal H., (2006), The Daily Market for Funds in Europe: What Has Changed with the EMU? Journal of Money, Credit and Banking, 38 (1), s. 91-118.

[20] Phillips P.C.B., Perron P., (1988), Testing for a Unit Root in Time Series Regressions, Biometrika, 75, s. 335-346.

[21] Raport NBP – Polska wobec swiatowego kryzysu gospodarczego,, pobrano 30.09.2009.

[22] Said E., Dickey D.A., (1984), Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order, Biometrika, 71, s. 599-607.

[23] Vila Wetherilt A., (2002), Money Market Operations and Volatility of UK Money Market Rates, Bank of England Quarterly Bulletin, Winter.

[24] Vojtek M., (2003), Calibration of interest rate models – transition markets case, CERGE-EI Discussion Paper Series .

[25] van der Weide R., (2002), GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model, Journal of Applied Econometrics, 17, s. 549-564.

Back to top
© 2019–2022 Copyright by Statistics Poland, some rights reserved. Creative Commons Attribution-ShareAlike 4.0 International Public License (CC BY-SA 4.0) Creative Commons — Attribution-ShareAlike 4.0 International — CC BY-SA 4.0