Analysis of corporate bond yield spread based on the volatility clustering effect

Weekly transaction data from 2016 to 2017 in Shenzhen and Shanghai Exchange platforms are collected for analyzing the volatility clustering effect of corporate bond yield spread. The volatility cluster characteristics of corporate bond yields are analyzed with cointegration by Autoregressive Conditional Heteroskedasticity models. Results show that ten-year period corporate bonds yield fluctuates most heavily. Corporate bond yields are proved to have volatility clusters and asymmetric characteristics. Thus, investors could choose different corporate bonds with different yield volatilities to maximize their returns.