Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is not available for factor models, due to their construction from the CRSP data base that does not provide high frequency data and contains a large number of less liquid stocks. Here, we provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation strategy that is based on volatility timing.

中文翻译：

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估计资产定价因素的波动性

基于规模、价值或动量等因素的模型在资产定价中无处不在。因此，投资组合分配和风险管理需要估计这些因素的波动性。虽然已实现波动率已成为流动性个别资产的标准工具，但该衡量标准不适用于因子模型，因为它们是根据 CRSP 数据库构建的，该数据库不提供高频数据并且包含大量流动性较差的股票。在这里，我们提供了一种统计方法来估计这些因素的波动性。这种方法相对于使用基于平方收益的模型的有效性，在市场波动预测和基于波动时间的投资组合分配策略中得到了证明。