A general question in finance is whether the volatility of the price of futures contracts follows any particular trend over the contract’s life. In this study, we contribute to the debate by empirically analyzing the trend of the term structure of the volatility of short-term interest rates (STIR) futures prices. Using data on the Eurodollar, Euribor, and Short-Sterling futures contracts for the period between 2000 and 2018, we model the volatility of each individual contract considering time to expiration and trading activities. Furthermore, we investigate whether these trends change according to overall economic conditions. We find that STIR futures behave differently than futures on other underlying assets and that, most of the time, STIR futures price volatility declines as the contract approaches expiration. Moreover, the relation between volatility and time to maturity depends on market conditions and trading activities, and it is non-linearly related to the observation period.

金融界的一个普遍问题是期货合约价格的波动是否遵循合约有效期内的任何特定趋势。在这项研究中，我们通过实证分析短期利率 (STIR) 期货价格波动的期限结构的趋势来促进辩论。我们使用 2000 年至 2018 年期间欧洲美元、Euribor 和短期英镑期货合约的数据，对考虑到到期时间和交易活动的每个单独合约的波动性进行建模。此外，我们调查这些趋势是否会根据整体经济状况而变化。我们发现，STIR 期货的表现与其他标的资产期货不同，而且大多数情况下，随着合约接近到期，STIR 期货价格波动性会下降。而且，