Timeline for Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?
Current License: CC BY-SA 3.0
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| Oct 11, 2015 at 17:18 | comment | added | Fly_back | Yes,@JPN. But if you want a dynamic one, then check the model: Dynamic Conditional Correlation GARCH model or Asymmetric Dynamic Correlation GARCH model. | |
| Oct 10, 2015 at 22:18 | comment | added | JPN | I'm assuming for $R$, you use the entire time series to estimate the correlation. That's why it's called constant correlation? | |
| Oct 7, 2015 at 9:06 | history | answered | Fly_back | CC BY-SA 3.0 |