SMU SOE Online Seminar (Mar 12, 2021, 2pm-3.30pm): Factor Modeling for Volatility

Please click here if you are unable to view this page.

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.		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.
		PRESENTER Yingying Li Hong Kong University of Science and Technology
		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
		DATE: 12 March 2021 (Friday)
		TIME: 2.00pm - 3.30pm