澳門大學工商管理學院金融科技學術沙龍論壇
UM FBA FinTech Academic Salon Forum
Seminar Talk – 003
Factor modeling for volatility
Prof. Yi DING
Assistant Professor in Business Intelligence and Analytics
Date: 15 March 2023(Wednesday)
Time: 1:00-2:00 p.m.
Venue: E22 FBA Lobby
Moderator: Prof. Wenjin KANG, Professor of Finance
Abstract
We establish a framework to study the factor structure in stock variance under a high-frequency and high-dimensional setup. We prove the consistency of conducting principal component analysis on realized variances in estimating the factor structure. Moreover, based on strong empirical evidence, we propose a multiplicative volatility factor (MVF) model, where stock variance is represented by a common variance factor and a multiplicative lognormal idiosyncratic component. We further show that our MVF model leads to significantly improved volatility prediction. The favorable performance of the proposed MVF model is seen in both US stocks and global equity indices.
Speaker
Dr. Ding received her Ph.D. degree in Business Statistics from the Hong Kong University of Science and Technology and the Bachelor of Science degree in Mathematics and Applied Mathematics from Tsinghua University. Before joining UM, Dr. Ding worked as a Research Assistant Professor at the Dept. of Applied Mathematics of Hong Kong Polytechnic University for two years. Dr. Ding’s research focuses on the study of financial big data, financial econometrics, and high-dimensional statistics. Dr. Ding has published papers in top academic journals such as Journal of Econometrics and Journal of the American Statistical Association. She has been the principal investigator of research projects funded by the Hong Kong Research Grant Council, and the National Natural Science Foundation of China.
All are welcome!
