The Impact of Sector and Market Variance on Individual Equity Variance

dc.contributor.author

Wang, Haoming

dc.date.accessioned

2009-09-16T15:35:01Z

dc.date.available

2009-09-16T15:35:01Z

dc.date.issued

2009

dc.department

Mathematics

dc.description.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.

dc.format.extent

1051078 bytes

dc.format.mimetype

application/pdf

dc.identifier.uri

https://hdl.handle.net/10161/1420

dc.language.iso

en_US

dc.title

The Impact of Sector and Market Variance on Individual Equity Variance

dc.type

Honors thesis

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Wang, Haoming.pdf
Size:
1 MB
Format:
Adobe Portable Document Format