论文标题
exabel的波动性估计方法的性能评估
Performance evaluation of volatility estimation methods for Exabel
论文作者
论文摘要
量化历史和未来波动率是投资组合风险管理的关键。本说明介绍并比较了估算估计的估计策略，该估计效率在2010年2月至2021年4月的28 629家独特公司组成的估计世界中，其中858个不同的投资组合。将估计方法比较它们如何对投资组合不同子集的波动率进行排名。总体最佳性能方法估计了使用GARCH模型从直接实体返回的波动率，以进行方差估计。
Quantifying both historic and future volatility is key in portfolio risk management. This note presents and compares estimation strategies for volatility estimation in an estimation universe consisting on 28 629 unique companies from February 2010 to April 2021, with 858 different portfolios. The estimation methods are compared in terms of how they rank the volatility of the different subsets of portfolios. The overall best performing approach estimates volatility from direct entity returns using a GARCH model for variance estimation.
