Timeline for How do I estimate the volatiliy of my portfolio with an estimator that requires High, Low, Open, etc
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 16, 2017 at 7:19 | comment | added | WJA | Thanks for the input. Checking it out today/tomorrow and will provide you feedback. | |
| May 16, 2017 at 7:03 | comment | added | David Addison | I was wondering if you had a chance to review the model I attached and, if so, whether you have any questions. | |
| May 12, 2017 at 19:51 | answer | added | Matthew Gunn | timeline score: 1 | |
| May 12, 2017 at 19:14 | comment | added | David Addison | hopefully it's more clear from the answer provided below. | |
| May 12, 2017 at 19:14 | answer | added | David Addison | timeline score: 1 | |
| May 12, 2017 at 11:19 | comment | added | WJA | Not getting what you mean. How do you for instance link exactly the Open with the return of my portfolio which is realized at the end of the day? | |
| May 11, 2017 at 19:34 | comment | added | David Addison | Why not implement a rolling 4-period window in which there will always be a open, high, low, and close? Of course, this would need to recognize the possibility that the open and close can be the high and/or low. You could then average the errors to get an estimate of variance. There are more ways to skin this cat... this is just one idea. | |
| May 11, 2017 at 18:50 | comment | added | WJA | Of the original Time series yes but not of my portfolio.. solely daily returns | |
| May 11, 2017 at 17:54 | comment | added | David Addison | do you have the intra-day opens, highs, and lows? | |
| May 11, 2017 at 7:04 | history | asked | WJA | CC BY-SA 3.0 |