Becker, Janis; Leschinski, Christian - In: Journal of Forecasting 40 (2021) 2, pp. 269-278
management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid … stocks that are not traded at a high frequency. Here, we provide a simple approach to estimate the volatility of these … factors. The efficacy of this approach is demonstrated using Monte Carlo simulations and forecasts of the market volatility. …