# Daily idiosyncratic volatility?

I have a long daily times series of individual stocks and would like to obtain daily idiosyncratic volatility (keeping the same frequency). Apparently, the widely used methodology of Ang 2006 would not work in my case as I will have convert the residuals from daily to monthly. I am not interested in forecasting. I just need to examine the historical IVOL for specific days.

I am planning on using a market factor model, CAMP, just to see if there is any potential results and upon the results I might do a three or five factor model. Any suggestions on how to calculate daily idiosyncratic volatility from daily observations and not from intraday data.

Thank you

Since you mentioned stocks I assume you are looking to calculate in a portfolio sense, one practice is calculating idiosyncratic variance by $${h}'Dh$$, where $$h$$ is your holdings of each stock and $$D$$ is $$\sigma_{i} ^{2}$$ of residues you estimated using factor models (at each day and for each stock $$i$$).