Economic policy uncertainty and volatility of treasury futures

Maojun Zhang (), Yang Zhao () and Jiangxia Nan ()
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Maojun Zhang: Suzhou University of Science and Technology
Yang Zhao: Suzhou University of Science and Technology
Jiangxia Nan: Suzhou University of Science and Technology

Review of Derivatives Research, 2022, vol. 25, issue 1, No 4, 93-107

Abstract: Abstract This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with the realized volatility of Treasury futures, the level and volatility of economic policy uncertainty. We find that the realized volatility of Treasury futures and economic policy uncertainty play a significant role in the dynamics of long-run volatility in Treasury futures markets in China and United States.

Keywords: Economic policy uncertainty; Treasury futures; Volatility; Mixed frequency regression (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11147-021-09182-8

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