Estimation of true volatility is a crucial part of equity investment, and there are many strategies for realizing this objective (e.g., the Parkinson realized volatility, the GARCH projected volatility, and stochastic implied volatility). Instead of treating volatility estimates as alternatives to one another, a recent series of studies has emphasized the return prediction performances of their paired differences, such as the variance risk premium, which subtracts the implied variance from the realized variance under a nonparametric framework. This article proposes a novel method of differencing variances that are computed on the basis of the holding-period return versus the logarithmic return. Via this approach, the authors provide a satisfactory substitute for the variance risk premium in cases in which its requirements for intraday and options data are not satisfied. They argue that the volatility differences can capture the information contained in logarithmic returns that involve continuous transactions. This argument is supported by follow-up empirical results—the proxy is demonstrated to be able to foreshadow the next-month market return and to perform well in adjusting holdings in long–short portfolio construction strategies. TOPICS: Volatility measures, exchanges/markets/clearinghouses, risk management Key Findings • The authors build a variance difference measure that is based on the holding-period versus logarithmic return for capturing information obtained from continuous trading activities. • This measure retains the return predictability of differencing volatility estimates, thereby providing a satisfactory alternative to the variance risk premium when its stringent data requirements cannot be satisfied. • The long–short portfolio strategies that are developed according to their variance difference are shown to outperform the market index, especially during market downtrend periods.

中文翻译：

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根据持有期收益率和对数收益率估算的波动率：它们的差异可能会有所不同

估计真实波动率是股权投资的关键部分，并且有许多实现该目标的策略（例如，帕金森实现的波动率，GARCH预测的波动率和随机隐含波动率）。最近的一系列研究并没有将波动率估计作为彼此替代，而是强调了它们的配对差异的收益预测表现，例如方差风险溢价，该收益在非参数框架下从已实现的方差中减去了隐含的方差。本文提出了一种新颖的差异方差计算方法，该方法是根据持有期收益与对数收益进行计算的。通过这种方法，如果不能满足当日和期权数据的要求，作者可以提供令人满意的替代方差风险溢价。他们认为，波动率差异可以捕获涉及连续交易的对数收益中包含的信息。该论据得到后续经验结果的支持—代理被证明能够预示下个月的市场收益，并在调整多空投资组合建设策略的持股方面表现良好。主题：波动率度量，交易所/市场/票据交换所，风险管理主要发现•作者建立了一个基于持有期对数回报的方差差异度量，以获取从连续交易活动中获得的信息。•该措施保留了差异波动率估计的收益可预测性，从而在不能满足其严格数据要求时提供了方差风险溢价的令人满意的替代方案。•根据方差差异开发的多空组合策略被证明优于市场指数，尤其是在市场下跌趋势期间。