Fun experimenting with GARCH modelling using the rgarch package in R on US Tsy yield returns. Was originally a late night excursion to test the ability of using the multicore package to parallelize GARCH fits, but turned into much, much more.
Interesting thing to note and it’s not fully captured is the “risk explosion” seen in the earlier parts of the returns with respect to risk/volatility forecasts: that was the tail end of the 2008 crisis.
Difference in the GARCH spec:
Top: Mean Model, using standard normal distribution, with ARMA(1,1). Bottom: Same Model, ARMA(0,0)