Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method. (7th February 2016)

• Record Type: Journal Article
• Authors: Alghalith, Moawia
• Is Part Of: Econometric reviews. Volume 35:Number 2(2016)
• Page Start: 257
• Page End: 262
• Publication Date: 2016-02-07
• Subjects: Investment -- Portfolio -- Stochastic volatility -- Stock -- Volatility of volatility; C0 -- G0; Econometrics -- Periodicals; 330.015195
• DOI: 10.1080/07474938.2014.932144
• Languages: English
• ISSNs: 0747-4938

Abstract

Abstract : We devise a convenient way to estimate stochastic volatility and its volatility. Our method is applicable to both cross-sectional and time series data, and both high-frequency and low-frequency data. Moreover, this method, when applied to cross-sectional data (a collection of risky assets, portfolio), provides a great simplification in the sense that estimating the volatility of the portfolio does not require an estimation of a volatility matrix (the volatilities of the individual assets in the portfolio and their correlations). Furthermore, there is no need to generate volatility data.