The persistence in volatility of the US term premium 1970-1986

This paper examines the persistence of the volatility of the risk premia for excess holding period returns of the term structure using a GARCH-M model of the conditional variance. The finding of a high degree of persistence cannot be sustained once allowance is made for a structural break in the unconditional variance caused by a change in the operation of US monetary policy during 1979–1982.