Volatility term structure modeling using Nelson-Siegel model

Arbeitspapier

Understanding of volatility term structure is highly relevant both for market agents and policymakers. As traditional methodologies often bring results contradicting situation on the markets, we revisit volatility term structure modeling in univariate case. In this paper we benefit from extensive high-frequency dataset of US Treasury futures prices allowing us to empirically inspect the behaviour of the respective realized volatility term structure. We believe that the discovered properties justify the application of multi-factor modeling techniques primarily developed for yield curves. Finally we develop the comprehensive methodology fitting empirical data efficiently by term structure decomposition using Nelson-Siegel class of models.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 17/2018

Classification and Topics

• Classification: Wirtschaft
• Subject: Realized volatility ; Term structure ; Dynamic Nelson-Siegel model ; Highfrequency data

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Malinska, Barbora ; Barunik, Jozef
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/203202
• Last update: 10.03.2025, 11:45 AM CET