Multivariate realized stock market volatility

Arbeitspapier

We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. The model has several advantages: it is parsimonious; it does not require imposing parameter restrictions; and, it results in a positive-definite 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. We also introduce a new method to track an index using our model of the realized volatility covariance matrix.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bank of Canada Working Paper ; No. 2007-20

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; Forecasting Models; Simulation Methods ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: Econometric and statistical methods ; Financial markets ; Aktienmarkt ; Kapitalertrag ; Capital Asset Pricing Model

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bauer, Gregory H. ; Vorking, Keith
• Ereignis: Veröffentlichung
• (wer): Bank of Canada
• (wo): Ottawa
• (wann): 2007

Weitere Informationen

• DOI: doi:10.34989/swp-2007-20
• Handle: http://hdl.handle.net/10419/53920
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ