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5
votes
1answer
91 views

Realized variance in SVJJ (Heston with jumps) model

I am working with the stochastic volatility model with jumps in both the price and volatility dynamics, ie. the risk neutral dynamics are of the form: $\mathrm{d}V_t = \kappa(\theta - V_t)\mathrm{d}t ...
6
votes
0answers
789 views

Formula for the efficient portfolios (mean-variance optimisation)?

Consider the setting of mean-variance portfolio optimisation: $n$ assets with expected returns $\overline{r}_1,...,\overline{r}_n$ and standard deviations $\sigma_1,...\sigma_n$. For a certain fixed ...
2
votes
0answers
38 views

How to calculate the estimation error of portfolio variance using propagation results?

I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
1
vote
0answers
52 views

Fourier transform covariance estimator

I am estimating realized variance and covariance by the estimator described in this paper, and relying on Fourier Transform. Now, as my data is one day of data in ultra high frequency, so that the ...
1
vote
0answers
91 views

How to measure if variance is greater at a certain time of day?

I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis. One market has closed and another market elsewhere on Spaceship Earth is ...
1
vote
0answers
541 views

portfolio optimization with a loop

I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
0
votes
0answers
13 views

Do smaller horizons better estimate volatility for longer horizons than the longer horizons?

Suppose you want an estimate of the 20 day return variance. You could grab historical lagging 20 day windows to build an estimate, or you could build 10 day lagging windows (twice as many data points) ...
0
votes
0answers
52 views

Easy question (?) - how to measure if volatility for two samples is significantly different?

For my bachelor thesis I'm doing a research where at one point I want to measure if volatility for a certain sample of stocks in period A is significantly different from i) the same sample of stocks ...
0
votes
0answers
78 views

Forecasting conditional variance using fGARCH

I am forecasting the conditional standard deviation using ARMA(1,0)-GJRGARCH(1,1) in R using the fGarch package. Here is a sample code: ...
0
votes
0answers
83 views

Mean-variance minimizser

I am working on a project that involves pricing european call options in incomplete markets. Now I need to find a unique measure $Q^*$ such that $$Q^* = \min_{M_e} E_Q [V(T)-F(w)]^2 = \min_{u} E_Q ...