Modeling the Volatility of US Bond Yields

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In this project, we will explore the volatility structure of US Government Bond Yields. Essentially all financial assets exhibit a phenomenon called volatility clustering where low and high volatility regimes follow each other. The alternating volatility regimes are a focus for risk management and investment decisions. We will use the well-known GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) method to explore the statistical properties of financial time series data.

This project assumes background knowledge on time series analysis, GARCH modeling, plotting and uses packages xts and rugarch. You can get familiar with GARCH modeling if you check out the course GARCH Models in R.

The historical yield data are published by the US Federal Reserve Data Releases and imported from Quandl, https://www.quandl.com/data/FED/SVENY,