Forecasts of Price, Return, and Volatility

In this paper, a model is developed to forecast simultaneously a security's price, growth rate, volatility, and high moments (if applicable). The model has many features. It is built based on its own price growth in a certain time horizon. It is not based on many assumptions such as prices being lognormally distributed or returns being normally distributed. The parameters of the model are statistically and financially meaningful. It is flexible enough for investors to put their views into the model to predict other terms. It is also effective enough for investors to look into return and risk characteristics of funds and compare these funds with others