Abstract
The typical financial management or investments textbook offers variance as a security risk measure, though usually omitting significant discussion concerning drawbacks to standard historical variance estimators and failing to discuss various alternatives to them. This paper reviews alternative variance estimation procedures, the most commonly used of non-relative risk measures. This review paper is intended to draw together variance estimation procedures from a number of sources for undergraduate or M.B.A. finance instructors intending to provide a more complete applications-oriented classroom discussion of risk measurement. Methodologies discussed here include traditional sample variance estimates, extreme value estimators, Black-Scholes implied volatility and AutoRegressive techniques.
Recommended Citation
(2004)
"Estimating Security Returns Variance: A Review of Techniques for Classroom Discussion,"
Journal of Economics and Finance Education: Vol. 3:
Iss.
2, Article 3.
Available at:
https://scholarship.rollins.edu/jefe/vol3/iss2/3
