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Original scientific paper

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

Igor Živko orcid id orcid.org/0000-0001-6603-3110 ; Faculty of Economics and Business, University of Mostar
Mile Bošnjak orcid id orcid.org/0000-0002-7663-198X ; SKDD - CPP Smart Clear Inc.


Full text: croatian pdf 240 Kb

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Full text: english pdf 240 Kb

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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.

Keywords

debt instruments; volatility; Croatia

Hrčak ID:

171189

URI

https://hrcak.srce.hr/171189

Publication date:

21.12.2016.

Article data in other languages: croatian

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