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| Author: | Brunner, A. Simon, D. |
| Title: | Excess returns and risk at the long end of the treasury market: an EGARCH-M approach |
| Journal: | Journal of Financial Research
1996 : FALL, VOL. 19:3, p. 443-457 |
| Index terms: | FINANCE RISK RESEARCH |
| Language: | eng |
| Abstract: | In this paper the authors model weekly excess returns of ten-year Treasury notes and long-term Treasury bonds from 1968 through 1993 using an exponential generalized autoregressive conditional heteroscedasticity in mean (EGARCG-M) approach. The results indicate the presence of conditional heteroscedasticity and a strong tendency for the ex-ante volatility of excess returns to increase more following negative excess return innovations compared with 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. |
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