A novel approach to modeling price volatility of sovereign debt instruments – the example of the Croatian government’s debt-based instruments
Journal Title: Notitia - časopis za održivi razvoj - Year 2016, Vol 2, Issue 1
Abstract
Debt-based financial instruments are specific due to the maturity component and conventional approaches in estimating their volatility may not be applicable. This paper focuses on modeling and forecasting price volatility of sovereign debt instruments while taking into account their maturity. In doing so we propose a simple and useful technique for obtaining the desired confidence of volatility estimates. The proposed approach provides price volatility estimates for debt instruments issued by Croatian government denominated in HRK and in EUR.
Authors and Affiliations
Igor Živko, Mile Bošnjak
Keywords
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- EP ID EP457703
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