This chapter provides a comprehensive introduction to the subject of fixed income market volatility and motivates its study. While equity market volatility has become the object of extensive research, relatively little is known about fixed income market volatility. The main theme of this book is to develop gauges of expected volatility in the fixed income space that are the counterparts to similar gauges in the equity market, such as the well-known VIX Index published by the Chicago Board Options Exchange. This introduction provides empirical evidence highlighting the contrast between the historical behavior of equity and fixed income market volatilities, as well as a preview of key methodological challenges that arise in developing indexes of expected volatility for the latter.
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