Multiplicative factor model for volatility

被引:0
作者
Ding, Yi [1 ]
Engle, Robert [2 ]
Li, Yingying [3 ,4 ]
Zheng, Xinghua [3 ]
机构
[1] Univ Macau, Fac Business Adm, Taipa, Macau, Peoples R China
[2] NYU, Stern Sch Business, 44 West Fourth St,Suite 9-62, New York, NY USA
[3] Hong Kong Univ Sci & Technol, Dept ISOM, Kowloon, Clear Water Bay, Hong Kong, Peoples R China
[4] Hong Kong Univ Sci & Technol, Dept Finance, Kowloon, Clear Water Bay, Hong Kong, Peoples R China
基金
美国国家科学基金会;
关键词
Volatility modeling; Factor model; High-frequency data; High-dimension; Principal component analysis; LARGE COVARIANCE ESTIMATION; INTEGRATED VOLATILITY; EFFICIENT ESTIMATION; REALIZED VOLATILITY; LONG-MEMORY; RISK; INFERENCE; VARIANCE; NUMBER; MATRIX;
D O I
10.1016/j.jeconom.2025.105959
中图分类号
F [经济];
学科分类号
02 ;
摘要
Facilitated with high-frequency observations, we introduce a remarkably parsimonious one- factor volatility model that offers a novel perspective for comprehending daily volatilities of a large number of stocks. Specifically, we propose a multiplicative volatility factor (MVF) model, where stock daily variance is represented by a common variance factor and a multiplicative idiosyncratic component. We demonstrate compelling empirical evidence supporting our model and provide statistical properties for two simple estimation methods. The MVF model reflects important properties of volatilities, applies to both individual stocks and portfolios, can be easily estimated, and leads to exceptional predictive performance in both US stocks and global equity indices.
引用
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页数:16
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