  Quantifying both historic and future volatility is key in portfolio risk
management. This note presents and compares estimation strategies for
volatility estimation in an estimation universe consisting on 28 629 unique
companies from February 2010 to April 2021, with 858 different portfolios. The
estimation methods are compared in terms of how they rank the volatility of the
different subsets of portfolios. The overall best performing approach estimates
volatility from direct entity returns using a GARCH model for variance
estimation.
