Title of article
The persistence in volatility of the US term premium 1970-1986
Author/Authors
Tzavalis، نويسنده , , Elias; Wickens، نويسنده , , M.R. ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1995
Pages
9
From page
381
To page
389
Abstract
This paper examines the persistence of the volatility of the risk premia for excess holding period returns of the term structure using a GARCH-M model of the conditional variance. The finding of a high degree of persistence cannot be sustained once allowance is made for a structural break in the unconditional variance caused by a change in the operation of US monetary policy during 1979–1982.
Keywords
Term structurc: Conditional heteroscedasticitv: Volatility: GARCH
Journal title
Economics Letters
Serial Year
1995
Journal title
Economics Letters
Record number
434011
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