Working Paper
Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach
Brunner, Allan D.; Simon, David P. (1995)
This paper models weekly excess returns of 10-year Treasury notes and long-term Treasury bonds from 1968 through 1993 using an exponential generalized autoregressive conditional hetroskedasticity in mean (EGARCH-M) approach. The results indicate the presence of conditional hetroskedasticity and a strong tendency for the ex-ante volatility of excess returns to increase more following negative excess return innovations compared to positive innovations of equal magnitude. In addition, increases in ex-ante volatility are associated in some subperiods with rising excess returns on longer-term ...
International Finance Discussion Papers , Paper 522