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Sponsored AI Networking Cookbook: Practical recipes for AI-assisted network automation and development AI Networking Cookbook: Practical recipes for AI-assisted network automation and development

Author

Michał Wronka

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Preprint Sep 2026

Modeling interest rate swap volatility with GARCH processes

We examine the conditional volatility dynamics of the USD 1Yx10Y forward swap rate using GARCH(1,1), GJR-GARCH(1,1), and a two-regime Markov-switching GARCH (MSGARCH) model. The analysis uses daily data from 2007 to 2023 and incorporates market-implied measures (ATM swaption volatility and the SRVIX in- dex) together w...

Michał Balcerek, Michał Wronka · 0 citations

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