Investigation of a Class of Volatility Estimators

This article examines a class o f volatility estimation models, all ofthem based on a weighted sum ofsquared deviationsjiom the meanfor historical returns. We show how some popular methods, such as RiskMetricsTM, GARCH, and non-parametric density estimation, fa l l into this class. We also conduct a briefempirical comparison ofthese methods. Wefind density estimation and RiskMetricsTMforecasts to be the most accurateforforecasting short-term interest rate Volatility.