Český finanční a účetní časopis 2026(1):4-20 | DOI: 10.18267/j.cfuc.626
Introduction to Bond Volatility Envelopes
The view of ordinary investors, based on a basic knowledge of the sensitivity of the bond price to changes in interest rates, assumes that bonds with longer maturities generally exhibit higher price volatility than short-term bonds, and therefore volatility decreases over the life of the bond — as the time approaches maturity. However, this research, which expands, refines and illustrates the author's previous studies, shows that this view represents only one of several possible variants.
Keywords: Bond volatility, volatility envelope, bond volatility patterns
JEL classification: G10, G23
Published: May 23, 2026 Show citation
References
- Fabozzi, F. J. (2010). Bond markets, analysis and strategies (7th ed.). Prentice Hall.
- Fuller, R. J., & Settle, J. W. (1984). Determinants of duration and bond volatility. Journal of Portfolio Management, 10(4), 66-72.
Go to original source... - Stádník, B. (2014). The volatility puzzle of bonds. In Business and management 2014: 8th International Scientific Conference (pp. 313-319). Vilnius Gediminas Technical University. https://doi.org/10.3846/bm.2014.039. Go to original source...
- Stádník, B. (2015). Trhy dluhopisů. Nakladatelství Oeconomica.
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