Nieto, Belén, Novales Cinca, Alfonso, Rubio Irigoyen, Gonzalo
Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
Quarterly Journal of Finance. 2015, 5(4): 1550021 [41 pages]. doi:10.1142/S2010139215500214
URI: http://hdl.handle.net/10045/53229
DOI: 10.1142/S2010139215500214
ISSN: 2010-1392 (Print)
Abstract: 
In this paper, we address the issue of how macroeconomic conditions affect corporate bond volatility. We employ the GARCH-MIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.
Keywords:Corporate bonds, Volatility, Low-frequency component, High-frequency component, Macroeconomic indicators, Financial indicators
World Scientific Publishing
info:eu-repo/semantics/article