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

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  • Moawia Alghalith

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.

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  • Moawia Alghalith, 2016. "Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 257-262, February.
    • Handle: RePEc:taf:emetrv:v:35:y:2016:i:2:p:257-262
    DOI: 10.1080/07474938.2014.932144
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    Cited by:

    1. Moawia Alghalith & Christos Floros & Konstantinos Gkillas, 2020. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility," Risks, MDPI, vol. 8(2), pages 1-15, April.
    2. Claudiu Vințe & Marcel Ausloos, 2023. "Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy," JRFM, MDPI, vol. 16(2), pages 1-24, February.

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