Unspanned stochastic volatility in the linear-rational square-root model: Evidence from the Treasury market
研究了线性有理平方根模型能否同时捕捉债券收益率及其方差的横截面和时间序列动态，发现包含两个未跨期因子的五因子模型能很好拟合收益率和方差，并揭示未跨期随机波动率与宏观不确定性相关。
This study examines the ability of the linear-rational square-root model to simultaneously capture cross-sectional and time-series dynamics of bond yields and their variances. The preferred model specification comprises five factors, two of which are not spanned by the yield curve, introducing unspanned stochastic volatility (USV). This specification provides a close in-sample fit to yields and yield variances, emphasizing the need for USV. Out-of-sample testing demonstrates low variance forecast errors. The specification provides evidence of USV in conditional yield variance and bond risk premia, linked to macroeconomic uncertainty.