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A novel approach to modeling price volatility of sovereign debt instruments – the example of the Croatian government’s debt-based instruments

Author

Listed:
  • Igor Živko

    (Faculty of Economics and Business, University of Mostar)

  • Mile BoÅ¡njak

    (SKDD –CCP Smart Clear Inc.)

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.

Suggested Citation

  • Igor Živko & Mile BoÅ¡njak, 2016. "A novel approach to modeling price volatility of sovereign debt instruments – the example of the Croatian government’s debt-based instruments," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(2), pages 13-20, December.
    • Handle: RePEc:noa:journl:y:2016:i:2:p:13-20
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    More about this item

    Keywords

    debt instruments; volatility; Croatia;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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