Economics, Econometrics and Finance
4 years ago

New study reveals key factors driving corporate bond yield spreads volatility!

The North American Journal of Economics and Finance
Estimating yield spreads volatility using GARCH-type models
Jong‐Min Kim, Dong Kim, Hojin Jung

Paper Summary

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The article explores how the volatility of corporate bond yield spreads is related to factors like interest rates, equity, and credit ratings. Different GARCH models are used to estimate this volatility, with the Q-GARCH model being the most accurate. The results show that these factors have a significant impact on yield spreads, providing valuable insights for investors.