Tag Archives: autocorrelation

The volatility mystery continues

How do volatility estimates based on monthly versus daily returns differ? Previously The post “The mystery of volatility estimates from daily versus monthly returns” and its offspring “Another look at autocorrelation in the S&P 500” discussed what appears to be an anomaly in the estimation of volatility from daily versus monthly data. In recent times … Continue reading

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Another look at autocorrelation in the S&P 500

Casting doubt on the possibility of mean reversion in the S&P 500 lately. Previously A look at volatility estimates in “The mystery of volatility estimates from daily versus monthly returns” led to considering the possibility of autocorrelation in the returns.  I estimated an AR(1) model through time and added a naive confidence interval to the … Continue reading

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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

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