Verbeek, Marno; Marquering, Marquering, W.A. - Erasmus Research Institute of Management (ERIM), … - 2001
In this paper, we analyze the economic value of predicting stock index returns as well as volatility. On the basis of simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from 1954 to...