Real-world equity calibration. Unconditional equity volatility in emerging and developed economies
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Document ID: 2009-1331 (previously 2009/05)
Published on: 16th April 2009
Author: Frederic El Cherif
Note: This article has been updated with a more recent version - see the replacement article here.
In our ESG models we model a large number of emerging and developed economies. Setting an unconditional equity volatility target in emerging markets is hard as data coverage is sparse.
This note update our analysis on initialisation of unconditional equity excess return volatility in an emerging economy at the time when equity data becomes available.
