%0 Report
%A Nieto, Belén
%A Novales Cinca, Alfonso
%A Rubio, Gonzalo
%T Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
%J Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
%D 2014
%@ 2341-2356
%U https://hdl.handle.net/20.500.14352/41599
%X This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.
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