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arXiv 2303.16151q-fin.STcs.LGecon.EMstat.ML
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预测大实现协方差矩阵:因子模型和收缩的好处

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

Duke University(杜克大学);State Farm(州立农业保险公司);The University of Illinois at Urbana-Champaign(伊利诺伊大学厄巴纳-香槟分校);Insper(Insper 商学院)

Rafael Alves, Diego S. de Brito, Marcelo C. Medeiros, Ruy M. Ribeiro

摘要:

我们提出了一个模型来预测大的已实现的协方差矩阵的回报,将其应用到标准普尔500指数的成分股。为了解决维度灾难,我们使用标准的公司层面因素(例如,规模、价值和盈利能力),并在残差协方差矩阵中使用部门限制。然后使用具有最小绝对收缩和选择算子(LASSO)的向量非均质自回归(VHAR)模型估计该受限模型。相对于标准基准,我们的方法提高了预测精度,并导致更好地估计最小方差投资组合。

英文摘要:

We propose a model to forecast large realized covariance matrices of returns, applying it to the constituents of the S\&P 500 daily. To address the curse of dimensionality, we decompose the return covariance matrix using standard firm-level factors (e.g., size, value, and profitability) and use sectoral restrictions in the residual covariance matrix. This restricted model is then estimated using vector heterogeneous autoregressive (VHAR) models with the least absolute shrinkage and selection operator (LASSO). Our methodology improves forecasting precision relative to standard benchmarks and leads to better estimates of minimum variance portfolios.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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