WSEAS Transactions on Systems and Control
Print ISSN: 1991-8763, E-ISSN: 2224-2856
Volume 10, 2015
The Volatility Cluster Character of Corporate Bond Yield
Authors: , ,
Abstract: We chose weekly transaction data from 2011 to 2012 in Shenzhen and Shanghai Exchange platform, and the paper analyzed the volatility clustering effect of corporate bond yield spread mainly by using time series data. Firstly, the paper described the data character. Secondly, the paper analyzed the volatility cluster character of corporate bond yield by using Autoregressive Conditional Heteroskedasticity model. In the end, we did cointegration analysis. We found corporate bond yield have volatility cluster and asymmetric character. And investors could choose different corporate bonds with different yield volatility according to own analysis.