untersuchungen zur dynamischen struktur des wiener aktienmarkts

summary: the present paper investigates whether the conditional expectations of returns and volatilities of selected stocks traded on the vienna stock exchange can be explained by a common market factor. univariate garch(1,1)-estimates of conditional volatilities are compared with several modifications of the factor-arch-model (engle, ng & rothschild, 1990). it is shown that an extended one-factor-model allowing for a short-term memory of stock-specific shocks fits the data as well as univariate estimates . secondly, conditional expectations are estimated on the basis of a var(1)-process. in order to account for the heteroscedasticity of the returns wls-estimators are used. subsequently, the most predictible portfolio is constructed by a canonical analysis (box & tiao, 1977) of the var(1). the results depend strongly on the weights given to high volatile periods.;