Behavior of volatility persistence in 10-year sovereign bond yields of India and China: evidence from component-GARCH model of Engle and Lee (1999)

Shariq Ahmad Bhat () and Qaiser Dar ()
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Shariq Ahmad Bhat: Pondicherry University

DECISION: Official Journal of the Indian Institute of Management Calcutta, 2019, vol. 46, issue 3, No 5, 233-237

Abstract: Abstract This paper investigates the volatility persistence in sovereign bond yields of India and China during study period of 2010–2018. For that purpose, the researcher has applied the Engle and Lee (in: Engle and Lee (eds) Cointegration, causality, and forecasting: a Festschrift in honour of Clive WJ Granger, Oxford University Press, Oxford, pp 475–497, 1999) C-GARCH model to decompose the volatility of 10-year sovereign bond yields of India and China into permanent and transitory components. The results reveal that permanent conditional volatility shows long memory with long-run component’s half-life decay ranges from 91 to 97 days for India and China, respectively. However, the temporary component of volatility much smaller with short-run component’s half-life decay ranges from .70 to .75 for India and China, respectively.

Keywords: Volatility persistence; Sovereign bond yields; India and China; Permanent and transitory components (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s40622-019-00206-9

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