TY - EJOU AU - Zhang, Maojun AU - Yao, Jiajin AU - Xia, Zhonghang AU - Nan, Jiangxia AU - Zhang, Cuiqing TI - The Volatility of High-Yield Bonds Using Mixed Data Sampling Methods T2 - Computers, Materials \& Continua PY - 2019 VL - 61 IS - 3 SN - 1546-2226 AB - It is well known that economic policy uncertainty prompts the volatility of the high-yield bond market. However, the correlation between economic policy uncertainty and volatility of high-yield bonds is still not clear. In this paper, we employ GARCH-MIDAS models to investigate their correlation with US economic policy uncertainty index and S&P high-yield bond index. The empirical studies show that mixed volatility models can effectively capture the realized volatility of high-yield bonds, and economic policy uncertainty and macroeconomic factors have significant effects on the long-term component of high-yield bonds volatility. KW - High-yield bonds KW - economic policy KW - garch-midas KW - macroeconomic DO - 10.32604/cmc.2019.06118