"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility … currencies. For example, idiosyncratic volatility accounts for over 20 percent variations of the subsequent change in the … out-of-sample forecast are statistically significant. We find the similar result--a positive and significant relation …

easily matched, chiefly excess volatility and the presence of ARCH effects. These findings are robust to a number of details …