A state-price volatility index for the US government bond market

被引：7
|
作者：
Pan, Zheyao [1 ,2 ]
机构：
[1] Univ Queensland, UQ Business Sch, St Lucia, Qld, Australia
[2] Univ Otago, Otago Business Sch, Dunedin, New Zealand
来源：
ACCOUNTING AND FINANCE | 2018年 / 58卷
关键词：
Interest rate volatility; State-preference pricing; Volatility forecasting; Fixed income markets; IMPLIED VOLATILITY; REALIZED VOLATILITY; STOCK RETURNS; OPTION PRICES; RISK; DYNAMICS; POLICY; JUMP;
D O I：
10.1111/acfi.12271
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Using the Arrow-Debreu state-contingent pricing methodology, this paper derives a U.S. government bond market volatility index (GBVX). I show that GBVX is an unbiased predictor for the next 30day realised volatility of the Treasury note futures return. GBVX also subsumes the information of GARCH, EWMA and historical volatility measures. Furthermore, GBVX serves as an effective predictor for the future realised volatilities of a wide class of fixed income portfolios. The results suggest GBVX as a powerful instrument for volatility forecasting in the fixed income markets.
引用
收藏
页码：573 / 597
页数：25
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