Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?
研究美国国债期货市场中价格跳跃对波动率预测的影响，发现在利率快速上升时期，包含跳跃的模型能显著提升统计和经济上的预测效果。
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.