Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method

Moawia Alghalith

Econometric Reviews, 2016, vol. 35, issue 2, 257-262

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.

Date: 2016
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DOI: 10.1080/07474938.2014.932144

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