Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?

Heather Anderson and Farshid Vahid

ANU Working Papers in Economics and Econometrics from Australian National University, College of Business and Economics, School of Economics

Abstract: This paper develops univariate and multivariate forecasting models for realized volatility in Australian stocks. We consider multivariate models with common features or common factors, and we suggest estimation procedures for approximate factor models that are robust to jumps when the cross-sectional dimension is not very large. Our forecast analysis shows that multivariate models outperform univariate models, but that there is little difference between simple and sophisticated factor models.

JEL-codes: C32 C53 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2005-03
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Citations: View citations in EconPapers (4)

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Journal Article: Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:acb:cbeeco:2005-451

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