INVESTIGATING LONG-RANGE DEPENDENCE IN AMERICAN TREASURY BILLS VARIATIONS AND VOLATILITIES DURING STABLE AND UNSTABLE PERIODS

Detrended fluctuation analysis (DFA) is used to examine long-range dependence in variations and volatilities of American treasury bills (TB) during periods of low and high movements in TB rates. Volatility series are estimated by generalized autoregressive conditional heteroskedasticity (GARCH) model under Gaussian, Student, and the generalized error distribution (GED) assumptions. The DFA-based Hurst exponents from 3-month, 6-month, and 1-year TB data indicates that in general the dynamics of the TB variations process is characterized by persistence during stable time period (before 2008 international financial crisis) and anti-persistence during unstable time period (post-2008 international financial crisis). For volatility series, it is found that; for stable period; 3-month volatility process is more likely random, 6-month volatility process is anti-persistent, and 1-year volatility process is persistent. For unstable period, estimation results show that the generating process is persistent for all maturities and for all distributional assumptions.