Idiosyncratic-Volatility-Investment-Algorithm

• 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.

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