Time-Series Techniques: Estimating Volatility
考察了市场从业者常用的多种波动率估计方法，从简单到复杂，并比较了它们在不同资产类别和市场环境下的预测能力，最后评估了波动率估计作为资产配置工具的应用。
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. He compares a variety of volatility estimation models, assessing their characteristics and predictive abilities across different asset classes and market environments. Finally, he assesses the application of volatility estimates as an asset allocation tool.