PT  - JOURNAL ARTICLE
AU  - Gregory Koutmos
TI  - Common Volatility in MBS Returns
AID  - 10.3905/jfi.2001.319284
DP  - 2001 Mar 31
TA  - The Journal of Fixed Income
PG  - 59--65
VI  - 10
IP  - 4
4099  - https://pm-research.com/content/10/4/59.short
4100  - https://pm-research.com/content/10/4/59.full
AB  - The author investigates whether there is a common factor governing the volatility of various coupon mortgage-backed securities (MBS) and the extent to which this factor is dynamically priced that is linked to a time-varying risk premium. A factor GARCH model indicates that a single common factor can successfully describe the time-varying volatility and the time varying-risk premium of MBS. All returns exhibit significant mean reversion.