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Forecasting the Volatility of Australian Stock Returns

Do Common Factors Help

Bibliographic Data

ID19419006
AuthorsHeather M Anderson (0000-0002-7668-1151, Australian National University), Farshid Vahid (0000-0002-5136-8361, Australian National University)
Year2007
Volume25
Issue1
Pages76-90
Publication date2007-01-01
Open AccessNo
TypeARTICLE
VenueJournal of Business and Economic Statistics (JOURNAL)
Journal identifiersISSN: 0735-0015 • E-ISSN: 1537-2707
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1198/073500106000000440
OpenAlexW1988433741
LanguageEN
Citations received1
References cited34

This article develops multivariate factor models for forecasting volatility in Australian stocks. We suggest estimation procedures for approximate factor models that are robust to jumps when the cross-sectional dimension is not very large, and also work with volatility measures that have been constructed so that they contain no jump components. Out-of-sample forecast analysis shows that multivariate factor models of volatility outperform univariate models, but there is little difference between simple and sophisticated factor models

Dynamic factor · Econometrics · Economics · Factor analysis · Forward volatility · Jump · Multivariate statistics · Realized variance · Statistics · Stochastic volatility · Univariate · Engineering · Financial Risk and Volatility Modeling · Hydrology and Drought Analysis · Mathematics · Monetary Policy and Economic Impact

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Citations per year0.05
Citation span2007 - 2007 (1)
Highly citedNo

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