Time varying price discovery

•We show how GARCH models can generate time-varying price discovery measures.•We find evidence of substantial variation in the price discovery of credit spreads.•A time-varying information share improves credit spread predictions.

We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. We find that time-varying information shares can improve credit spread predictions.