PT  - JOURNAL ARTICLE
AU  - Stephen Marra
TI  - Time Series Techniques: Estimating Volatility
AID  - 10.3905/jpm.2023.1.475
DP  - 2023 Feb 15
TA  - The Journal of Portfolio Management
PG  - jpm.2023.1.475
4099  - https://pm-research.com/content/early/2023/02/15/jpm.2023.1.475.short
4100  - https://pm-research.com/content/early/2023/02/15/jpm.2023.1.475.full
AB  - The author examines the different methods of volatility estimation widely used among market practitioners. These techniques range from the simple to the complex and incorporate varying degrees of backward- and forward-looking data. The author discusses the characteristics of asset class returns that make volatility inherently more predictive than returns themselves. They compare a variety of volatility estimation models, assessing their characteristics and predictive abilities across different asset classes and market environments. Finally, they assess the application of volatility estimates as an asset allocation tool.