Generalized dynamic factor models and volatilities
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Αντωνόπουλος, Φώτιος
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Abstract
In recent decades, financial market data has become available with increasingly
higher frequency and higher dimension. This rapidly growing amount of financial
data has created many research opportunities and challenges. In finance, where risk management and portfolio optimization are one
of the main issues, the analysis of large panel of finance indexes are important. Therefore, new methods are observed for the analysis of
high dimension data in the literature of financial econometrics. The main research
objective of our thesis is to present a new method in order to produce volatility
forecasts.
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Keywords
Generalized dynamic factor models, High-dimensional time series, Volatility, GARCH models