Chapter 19: Risk Management
Volatility Forecasting Mechanics for Risk Control intermediate
Volatility is the one financial quantity that is genuinely forecastable at short horizons, and every risk overlay — from position sizing to drawdown limits — depends on getting that forecast roughly right.
Volatility is the one financial quantity that is genuinely forecastable at short horizons, and every risk overlay — from position sizing to drawdown limits — depends on getting that forecast roughly right.
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References
Understanding Risk Parity
Brian Hurst
(2010)
Toward Regime-Aware Risk Forecasts
Kevin Khang
(2022)
— The Journal of Portfolio Management
Time-Series Techniques: Estimating Volatility
Stephen Marra
(2023)
— The Journal of Portfolio Management
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev
(1986)
— Journal of Econometrics