Posts Tagged ‘ variance compression ’

Volatility from daily or monthly: garch evidence

October 29, 2012
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Volatility from daily or monthly: garch evidence

Should you use daily or monthly returns to estimate volatility? Does garch explain why volatility estimated with daily data tends to be bigger than if it is estimated with monthly data? Previously There are a number of previous posts — with the variance compression tag — that discuss the phenomenon of volatility estimated with daily … Continue reading...

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