Hadad, Elroi; Fridman, Amit Malka; Yosef, Rami - In: Risks : open access journal 13 (2025) 11, pp. 1-16
This study investigates the volatility of the Israeli corporate bond market, where corporate bonds are traded on a Limit Order Book (LOB) exchange with high retail trading activity. Using data from the Tel-Bond 20 and Tel-Bond 60 indices, we estimate various asymmetric GARCH models to capture...