Volatility from daily or monthly: garch evidence
Should you use daily or monthly returns to estimate volatility? [...]
Three talks from CFE
The Computational and Financial Econometrics conference was just held in [...]
Volatility estimation and time-adjusted returns
Do non-trading days explain the mystery of volatility estimation? Previously [...]
The volatility mystery continues
How do volatility estimates based on monthly versus daily returns [...]
Another look at autocorrelation in the S&P 500
Casting doubt on the possibility of mean reversion in the [...]
The mystery of volatility estimates from daily versus monthly returns
What drives the estimates apart? Previously A post by Investment [...]