The Impact of Sector and Market Variance on Individual Equity Variance
Abstract
This paper investigates how changes in measures of sector and market variance affect
equity variance by examining forecasts of equity variance over 1, 5, and 22 day time
horizons. These forecasts were generated using heterogeneous autoregressive regressions
that included measures of sector and market variance. The results demonstrate that
sector and market variance both play an important role in determining equity variance.
Further, the inclusion of measures of sector and market variance improves goodness
of fit and decreases forecasting errors. These results imply that the inclusion of
these measures could improve predictive models of equity variance.
Type
Honors thesisDepartment
MathematicsPermalink
https://hdl.handle.net/10161/1420Citation
Wang, Haoming (2009). The Impact of Sector and Market Variance on Individual Equity Variance. Honors thesis, Duke University. Retrieved from https://hdl.handle.net/10161/1420.Collections
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