The Economic Value of Volatility Timing in the Athens Stock Exchange
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.
|Date of creation:||2009|
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Web page: http://econ.uop.gr/~econ/
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