نگاهی دیگر در مورد تکامل صرف ریسک: یک مدل VAR-GARCH-M

In this paper we model the Spanish interest rate in the period 1979–1998, estimating the time-varying risk premium for France, Germany and Spain and allowing for relationships among them. For this purpose, we select a VAR(1)-GARCH(1,1)-M(1) from among competing models. Results clearly support the existence of a time-varying risk premium for Spain that depends on the German volatility.