The Economic Value of Volatility Timing in the Athens Stock Exchange

Dimitrios Vortelinos ()

No 46, Working Papers from University of Peloponnese, Department of Economics

Abstract: This paper examines the economic value of various realized volatility and covariance estimators under the strategy of volatility timing. There are used three types of portfolios: Global Minimum Variance, Capital Market Line kai Capital Market Line with only positive weights. The state-of-the-art estimators of volatilities and covariances use 5-min high-frequency intraday data. The dataset concerns the FTSE-20, FTSE-40 and FTSE-80 indices of the Athens Stock Exchange (ASE). As far as I know, this is the rst work of its kind for the ASE equity market. Results concern not only the comparison of various estimators but also the comparison of different types of portfolios, in the strategy of volatility timing. The economic value of the contemporary non-parametric realized volatility estimators is more significant than the covariance of the daily squared returns. Moreover, the economic value of each estimator changes with the volatility timing.

Keywords: portfolio analysis; intraday data; optimal sampling; microstructure; volatility forecasting; covariance; Athens Stock Exchange; volatility timing. (search for similar items in EconPapers)
Pages: 23 pages
Date: 2009
New Economics Papers: this item is included in nep-fmk and nep-mst
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