VALUATUION OF INTEREST RATES VOLATILITY IN THE RUSSIAN FINANCIAL MARKET

Gukovskaya Anastasia A.

The paper discusses methods for modeling the price volatility of zero-coupon bonds and their use for forecasting market volatility. Based on the method of modeling interest rates using the one-factor Hull-White model or the generalized Vasicek model, a formula was obtained for calculating volatility, on the basis of which the interest rate model was calibrated using time series of OFZ price changes. The results obtained made it possible to make a forecast of changes in volatility for two months in advance with 95% reliability, which indicates the possibility of further using the apparatus of stochastic interest rate models for analyzing and forecasting the Russian bond market

Keywords:volatility, term structure of interest rates, government bond market, generalized Vasicek model