# Would you consider yield a stationary or non-stationary process?

Doing some yield curve forecasting and unsure whether should be working with yield or change of yield.

• Typically it is considered stationary and mean reverting. Yield curve analysis can be done on either level or returns since, for example, correlations on levels are explainable. – Kch Apr 19 '18 at 17:42
• There was actually a good answer on here saying that it is non-stationary because its variance is changing. If empirically it has been indeed observed that variance (or mean) of say Gaussian change through time -- then indeed it would be a non-stationary process. Having thought about it more, there are interest rate models. I think all of them assume nonstationarity (just like geometric brownian motion for equities). So price and yield both seem to be non-stationary processes, hence requiring looking at relative change (which at least resembles more of a stationary process). – A.L. Verminburger Apr 19 '18 at 21:48