# Tag Info

### Why is asset volatility easier to estimate than the asset mean if it contains the mean?

Let me add two points to Quantoisseur's answer. Standard Errors The difference between estimating variances and means is that the standard error of the variance estimator depends on the size of the ...

### What is the preferred GARCH method in practice?

I personally use the simple Garch(1,1) for volatility filtering in the risk management area. In fact in most cases I don't even estimate the parameters, I stick 0.94 for mean reversion, 0.04 for the ...

### What good papers of short term (<30 seconds) volatility estimation

Very interesting question. I am not an expert on the subject, however, I was able to find a collection of papers on the subject that should get you started. Here is a good and very informative paper ...
Accepted

### Estimating implied volatility of an index component with no vanilla options market

There is no standard approach to this problem to the best of my knowledge. Different approaches exist and each has its own pros and cons as usual. To mention a few: Information-based methods: these ...
Accepted

### Are asset return means difficult to predict because they have no lower bound?

To answer, the assertion that volatility is easier to predict than expected return requires clarification. The phrase "easier to predict" is particularly ambiguous. To me this means that the ...

### Why is asset volatility easier to estimate than the asset mean if it contains the mean?

The answer is not statistical. In almost every other area of statistics, estimating the mean is easier (i.e. it can be estimated with higher precision) and estimating higher moments like variance (and ...

### Unsmoothing of returns

Did you try solving for $w_k$? $$\bar{r}_t = \sum_{k=0}^p w_k r_{t-k}$$ $$\bar R = W R$$ Since you probably have $t>>k$, you can solve for $W$ using OLS $$\bar R = W R +\varepsilon$$ -- ...
Accepted

### Bond yield to maturity vs current interest yield

Not really. For infinite maturity bonds we have $Price = coupon/yield$ so your approximation is actually correct. However for short dated bonds it is not a good approximation. For example , a 1 ...
Accepted

### Neural Networks for Estimation of Unmarked Private Asset Returns from Market Data

Based on an my updated understanding of your problem you have a portfolio consisting of $N$ illiquid assets. Valuations are not real time and usually lagged, by say, upto 3 months (or slightly longer),...
Accepted

### Methods for superior estimates of returns in m.v. portfolio optimization

Expected returns are very difficult to estimate reliably without incurring estimation error as found out by Merton (1980) "On estimating the expected return on the market". This is why estimating ...

### Arithmetic Brownian Motion in Market Making papers

The time step typically depends on the context. Due to the self-similarity of Brownian motion the mathematics should work similarly on any time scale, although the resultant estimates might vary ...