This paper presents a term structure model for no-arbitrage bond yields and realized bond market volatility. Based on well-known results, realized yield curve covariation is linked to generalized autoregressive conditional heteroskedasticity (GARCH)-type conditional covariation. The model is tractable and its latent state variables can be filtered using an exact algorithm. In an empirical study of U.S. Treasury bond data, the model shows that conditional yield curve covariation is priced in long-term yields. Moreover, the model proves useful for multi-step ahead forecasting of realized covariation. Finally, I use the model to quantify interest-rate risk and risk compensation.

中文翻译：

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利率期限结构与实际波动率的联合模型

本文提出了无套利债券收益率和已实现债券市场波动的期限结构模型。基于众所周知的结果，实现的收益率曲线协变与广义自回归条件异方差 (GARCH) 型条件协变相关联。该模型易于处理，并且可以使用精确算法过滤其潜在状态变量。在对美国国债数据的实证研究中，该模型表明，条件收益率曲线协变是以长期收益率计价的。此外，该模型被证明对于实现协变的多步提前预测很有用。最后，我使用该模型来量化利率风险和风险补偿。