TY - JOUR T1 - Common Volatility in MBS Returns JF - The Journal of Fixed Income SP - 59 LP - 65 DO - 10.3905/jfi.2001.319284 VL - 10 IS - 4 AU - Gregory Koutmos Y1 - 2001/03/31 UR - https://pm-research.com/content/10/4/59.abstract N2 - 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. ER -