The primary focus of this study is on modeling the relationship between the volatility of corporate bond yield spreads and other covariates, including interest rate volatility, equity volatility, and rating. The purpose of this article is to apply various GARCH models to estimate the volatility of corporate bond yield spreads. This attempt is, to the best of our knowledge, the first to analyze the volatility of the yield spreads. In particular, this study utilizes standard GARCH and various asymmetric GARCH models, including E-GARCH, T-GARCH, P-GARCH, Q-GARCH, and I-GARCH models. We select the best fitting models for the noncallable (callable) case based on AIC, and it turns out Q-GARCH (T-GARCH) is the best fitting model. The estimation results indicate that our explanatory variables are statistically significant even at the 1% significance level when we apply the best fitting models. They are generally consistent, but we observe the presence of apparent differences. Our findings should be beneficial to practitioners, including investors.

本研究的主要重点是对公司债券收益率利差波动率与其他协变量之间的关系进行建模，包括利率波动率，股票波动率和评级。本文的目的是应用各种GARCH模型来估计公司债券收益率利差的波动性。据我们所知，这种尝试是第一个分析收益率差价波动性的尝试。特别是，本研究利用标准GARCH和各种非对称GARCH模型，包括E-GARCH，T-GARCH，P-GARCH，Q-GARCH和I-GARCH模型。我们基于AIC为非通话（可通话）情况选择最佳拟合模型，结果证明Q-GARCH（T-GARCH）是最佳拟合模型。估计结果表明，当我们应用最佳拟合模型时，即使在1％的显着性水平下，我们的解释变量也具有统计学意义。它们通常是一致的，但是我们观察到存在明显差异。我们的发现应该对包括投资者在内的从业者有益。