TREASURY BILL YIELDS AND VOLATILITY: EVIDENCE FROM INDIAN TREASURY BILL MARKET

Abstract

The study is investigating the volatility behaviour of short Treasury bill yields of India by applying GARCH (1, 1) model. The frequency of data used in the study is weekly from 2000 to 2021. The results suggest that Treasury bill yields of 3 months, 6 months and one year in India are highly volatile. The findings provide sufficient evidence that Indian Treasury bill yields are significantly volatile during entire study period. The results also show that corresponding probability value is significant at 1%. That reveals that Treasury bill yields of India are highly volatile at confidence level of 99% during study period i.e. 2000 to 2021.