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Tag Archives: annualize
The mystery of volatility estimates from daily versus monthly returns
What drives the estimates apart? Previously A post by Investment Performance Guy prompted “Variability of volatility estimates from daily data”. In my comments to the original post I suggested that using daily data to estimate volatility would be equivalent to using monthly data except with less variability. Dave, the Investment Performance Guy, proposed the exquisitely … Continue reading
Posted in Quant finance, R language
Tagged annualize, autocorrelation, S&P 500, variance compression, volatility
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