- Investment Strategy with Idiosyncratic Volatility.
- Investing in LQ45 constituents from 2015 to early 2020.
- The Investment Algorithm is based on Fu (2009) that suggest positive and significant relationship between stock returns and expected idiosyncratic volatility.
- Expected idiosyncratic volatility is estimated with GJR-GARCH (3,1,1) model and expanding window training set.
Check my portfolio for more details