Volatility Models and Backtests on Quantopian

In this blog post, I will present some backtest results on volatility models.  The list I present here are not exhaustive and there are still a gargantuan set of papers focusing on this issue (a good place to start is on vlab).  In the next section, I present some simple notations to define financial volatility and then define each model and show general backtest results with risk attributes.  The premise of the backtest is as follows: financial volatility of an investment portfolio is able to be minimized globally through allocating the correct amount of dollar toward each asset within the portfolio. […]

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