RT Journal Article SR Electronic T1 Common Volatility in MBS Returns JF The Journal of Fixed Income FD Institutional Investor Journals SP 59 OP 65 DO 10.3905/jfi.2001.319284 VO 10 IS 4 A1 Gregory Koutmos YR 2001 UL https://pm-research.com/content/10/4/59.abstract 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.