Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the...
| Autores: | , , |
|---|---|
| Formato: | informe técnico |
| Fecha de publicación: | 2014 |
| País: | España |
| Recursos: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/41599 |
| Acesso em linha: | https://hdl.handle.net/20.500.14352/41599 |
| Access Level: | acceso abierto |
| Palavra-chave: | G12 C22 E44 Corporate bonds Volatility Low-frequency component High-frequency component Macroeconomic indicators Financial indicators. Econometría (Economía) Finanzas Macroeconomía 5302 Econometría 5307.14 Teoría Macroeconómica |
| Resumo: | This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model. |
|---|