Equity Volatility Size Adjustments by Industry

This article provides a means for determining equity volatility size adjustments in estimating lookback equity volatilities for eleven different industry sectors based on twenty years of historical data. The industry-specific size adjustments can be used for estimating volatility for common equity in privately-held or illiquid publicly traded companies. Consistent with an earlier article, I find that size adjustments vary significantly among industries, but I also find relatively minor differences for any given industry based on the time horizon.