| Abstract: | In this paper we examine the predictive power of the heterogeneous autoregressive (HAR) model for the return volatility of major European government bond markets. The results from HAR-type volatility forecasting models show that past short- and medium-term volatility are significant predictors of the term structure of the intraday volatility of European bonds with maturities ranging from 1 year up to 30 years. When we decompose bond market volatility into its continuous and discontinuous (jump) component, we find that the jump component is a significant predictor. Moreover, we show that feedback from past short-term volatility to forecasts of future volatility is stronger in the days that precede monetary policy announcements. |
