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Measuring time dependent volatility and cross-sectional correlation in Australian equity returns

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  • Bertram, William K.

Abstract

In this study we examine the time-dependent nature of volatility and cross-correlation of Australian equity returns data. Volatility and correlation estimates are calculated using methods that allow for non-stationary behaviour. By averaging the estimates across the entire data set we show that the correlation in ASX stock returns displays evidence of significant time-dependent behaviour. We also find that the volatility estimates do not display similar non-stationary patterns.

Suggested Citation

  • Bertram, William K., 2008. "Measuring time dependent volatility and cross-sectional correlation in Australian equity returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3183-3191.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:13:p:3183-3191
    DOI: 10.1016/j.physa.2008.01.106
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    1. Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.

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