IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v45y2025i4p326-342.html
   My bibliography  Save this article

Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?

Author

Listed:
  • Xueer Zhang
  • Jui‐Cheng Hung
  • Chien‐Liang Chiu

Abstract

This study investigates volatility forecasts in the US Treasury futures market and emphasizes the importance of price jumps across various maturities under moderate and sharp interest rate rising scenarios. We assess out‐of‐sample forecasting performance not only with statistical method but economic method based on a volatility timing strategy. Our findings indicate that models including price jumps specifications exhibit substantial enhancements in both evaluation methods over the entire out‐of‐sample period, particular for the period of sharp interest rate rising. Our results are robust to nonparametric jump tests used in this study, transaction costs, and portfolio rebalancing method.

Suggested Citation

  • Xueer Zhang & Jui‐Cheng Hung & Chien‐Liang Chiu, 2025. "Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(4), pages 326-342, April.
    • Handle: RePEc:wly:jfutmk:v:45:y:2025:i:4:p:326-342
    DOI: 10.1002/fut.22567
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/fut.22567
    Download Restriction: no
    File URL: https://libkey.io/10.1002/fut.22567?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:45:y:2025:i:4:p:326-342. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.