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SMU SOE Online Seminar (Mar 12, 2021, 2pm-3.30pm): Factor Modeling for Volatility
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TOPIC:
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FACTOR MODELING FOR VOLATILITY
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ABSTRACT
Under a high-frequency and high-dimensional setup, we establish a framework to estimate the factor structure in stock volatility. We show the consistency of conducting principal component analysis on realized volatilities in identifying the factor structure in stock and idiosyncratic volatility. Empirically, with strong empirical evidence, we propose a single factor model for stock volatility, where volatility is represented by a common volatility factor and a multiplicative lognormal idiosyncratic component. We further utilize the proposed factor model for volatility forecasting and show that our proposed approach outperforms various benchmark methods. This is joint work with Yi Ding, Robert Engle and Xinghua Zheng.
Click here to view the CV.
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This seminar will be held virtually via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 11 March 2021.
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PRESENTER
Yingying Li
Hong Kong University of Science and Technology
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RESEARCH FIELDS
Financial Big Data
Large Portfolio Analysis
Volatility Modeling
Volatility Estimation
Volatility Prediction
High-frequency and High-dimensional Data
Statistical Learning
Individualized Asset Allocation
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DATE:
12 March 2021 (Friday)
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TIME:
2.00pm - 3.30pm
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