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Behavior of volatility persistence in 10-year sovereign bond yields of India and China: evidence from component-GARCH model of Engle and Lee (1999)

  • Shariq Ahmad BhatEmail author
  • Qaiser Farooq Dar
Research Article
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Abstract

This paper investigates the volatility persistence in sovereign bond yields of India and China during study period of 2010–2018. For that purpose, the researcher has applied the Engle and Lee (in: Engle and Lee (eds) Cointegration, causality, and forecasting: a Festschrift in honour of Clive WJ Granger, Oxford University Press, Oxford, pp 475–497, 1999) C-GARCH model to decompose the volatility of 10-year sovereign bond yields of India and China into permanent and transitory components. The results reveal that permanent conditional volatility shows long memory with long-run component’s half-life decay ranges from 91 to 97 days for India and China, respectively. However, the temporary component of volatility much smaller with short-run component’s half-life decay ranges from .70 to .75 for India and China, respectively.

Keywords

Volatility persistence Sovereign bond yields India and China Permanent and transitory components 

Notes

References

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Copyright information

© Indian Institute of Management Calcutta 2019

Authors and Affiliations

  1. 1.Department of CommercePondicherry UniversityKalapetIndia
  2. 2.Department of StatisticsPondicherry UniversityPondicherryIndia
  3. 3.Hardu HandewShopianIndia

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