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dc.contributor.author Lamba, Zoravar en_US
dc.date.accessioned 2009-09-16T15:34:59Z
dc.date.available 2009-09-16T15:34:59Z
dc.date.issued 2009-04 en_US
dc.identifier.uri http://hdl.handle.net/10161/1417
dc.description Honors thesis, Department of Mathematics en_US
dc.description.abstract This paper examines the contemporaneous and dynamic relationships between the volatilities of the technology stocks in the S&P 100 index. Factor analysis and heterogeneous autoregressive regressions are used to examine contemporaneous and dynamic, inter-temporal relationships, respectively. Both techniques utilize high frequency data by measuring stock prices every 5 minutes from 1997-2008. We find that a strong industry effect explains the bulk of the volatility of the technology stocks and that the market’s volatility has very low correlation with the stocks’ volatility. Further, we find the market’s volatility has insignificant predictive content for the stocks’ volatility. The stocks themselves contain large quantities of unique predictive content for each other’s volatilities. en_US
dc.format.extent 247114 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.title An Investigation into the Interdependency of the Volatility of Technology Stocks en_US
dc.department Mathematics en_US

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