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Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt / Different Volatility Regimes on the German Bond Market

Author

Listed:
  • Herwartz Helmut

    (Humboldt Universität zu Berlin, Institut für Statistik und Ökonometrie, Spandauer Str. 1, D-10178 Berlin)

  • Reimers Hans-Eggert

    (Hochschule Wismar, Fachbereich Wirtschaft, Philipp-Müller-Str. PF 1210, D-23952 Wismar)

Abstract

The paper provides an analysis of daily changes of German yields of public bonds outstanding for the period 1981 - mid 1996. The sample period covers the introduction of financial innovations like future options. In addition, we suppose the interdependence of national bond markets and the activity of institutional market participants to be of increasing importance during the sample period. There is strong evidence that the variances are contemporaneously correlated. This dependence is described by a GARCH (1,1)-model with t-distributed innovations. Its parameters are not stable and at least two different variance regimes are selected. A comparison of the unconditional variances of the subperiods shows that since the mid 1988 mean volatility has not changed significantly compared to former periods. With respect to the bottom level of the estimated volatility it turns out that this quantity increased considerably in the second half of the sample period.

Suggested Citation

  • Herwartz Helmut & Reimers Hans-Eggert, 1999. "Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt / Different Volatility Regimes on the German Bond Market," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 219(3-4), pages 375-392, June.
    • Handle: RePEc:jns:jbstat:v:219:y:1999:i:3-4:p:375-392
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