Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach

Allan Brunner () and David P. Simon

No 522, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper models weekly excess returns of 10-year Treasury notes and long-term Treasury bonds from 1968 through 1993 using an exponential generalized autoregressive conditional hetroskedasticity in mean (EGARCH-M) approach. The results indicate the presence of conditional hetroskedasticity and a strong tendency for the ex-ante volatility of excess returns to increase more following negative excess return innovations compared to positive innovations of equal magnitude. In addition, increases in ex-ante volatility are associated in some subperiods with rising excess returns on longer-term instruments, although the slope of the yield curve and lagged excess returns generally remain significant predictors of excess returns.

Keywords: Treasury; bills (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: EXCESS RETURNS AND RISK AT THE LONG END OF THE TREASURY MARKET: AN EGARCH-M APPROACH (1996)
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