Forecasting multivariate realized stock market volatility |
| |
Authors: | Gregory H. Bauer Keith Vorkink |
| |
Affiliation: | 1. Financial Markets Department 4E, Bank of Canada, 234 Wellington, Ottawa, Ontario, Canada K1A 0G9;2. 667 TNRB, Provo, UT 84602, USA |
| |
Abstract: | We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of lagged volatility, lagged returns and other forecasting variables. The model has several advantages: it is parsimonious; it does not require imposing parameter restrictions; and, it results in a positive-definite estimated covariance matrix. We apply the model to the covariance matrix of size-sorted stock returns and find that two factors are sufficient to capture most of the dynamics. |
| |
Keywords: | G14 C53 C32 |
本文献已被 ScienceDirect 等数据库收录! |
|