Measuring Time Dependent Volatility and Cross-Sectional Correlation in Australian Equity Returns

In this study we examining the time dependent nature of volatility and cross-correlation of Australian equity returns data. Volatility and correlation estimates are calculated using methods that allow for non-stationary behaviour. By averaging the estimates across the entire data set we show that the correlation in ASX stock returns displays evidence of significant time-dependent behaviour. We also find that the volatility estimates do not display similar non-stationary patterns