# Forecasting High-Dimensional Realized Volatility Matrices Using A Factor Model

arXiv: https://arxiv.org/abs/1504.03454 · HTML: https://mlsanity.com/paper/1504.03454/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 14 Apr 2015.

## Built on by (most cited first, 1 of 1)

- [CNN-based Realized Covariance Matrix Forecasting](https://mlsanity.com/paper/2107.10602/) (2021)

## Abstract (arXiv)

Modeling and forecasting covariance matrices of asset returns play a crucial role in finance. The availability of high frequency intraday data enables the modeling of the realized covariance matrix directly. However, most models in the literature suffer from the curse of dimensionality. To solve the problem, we propose a factor model with a diagonal CAW model for the factor realized covariance matrices. Asymptotic theory is derived for the estimated parameters. In an extensive empirical analysis, we find that the number of parameters can be reduced significantly. Furthermore, the proposed model maintains a comparable performance with a benchmark vector autoregressive model.