%0 Journal Article %A Gregory Koutmos %T Common Volatility in MBS Returns %B A Factory GARCH Approach %D 2001 %R 10.3905/jfi.2001.319284 %J The Journal of Fixed Income %P 59-65 %V 10 %N 4 %X 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. %U https://jfi.pm-research.com/content/iijfixinc/10/4/59.full.pdf