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Volatility Forecasting in European Government Bond Markets

Ozbekler, Ali Gencay and Kontonikas, Alexandros and Triantafyllou, Athanasios (2021) 'Volatility Forecasting in European Government Bond Markets.' International Journal of Forecasting. ISSN 0169-2070 (In Press)

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Abstract

In this paper we examine the predictive power of the Heterogeneous Autoregressive (HAR)model for the return volatility of major European government bond markets. Results fromHAR-type volatility forecasting models show that past short and medium-term volatilityare significant predictors of the term structure of intraday volatility of European bondswith maturities ranging from 1-year up to 30-years. When we decompose bond marketvolatility into its continuous and discontinuous (jump) component, we find that the jumpcomponent is a significant predictor. Moreover, we show that feedback from past short-term volatility to the forecast of future volatility is stronger in days that precede monetarypolicy announcements.

Item Type: Article
Uncontrolled Keywords: Bonds, Realized Volatility, Volatility Forecasting, Jumps, Monetary PolicyAnnouncements
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 25 Mar 2021 15:29
Last Modified: 25 Mar 2021 16:15
URI: http://repository.essex.ac.uk/id/eprint/30098

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