augmented GARCH process of Duan (1997). The Lévy flight includes a method for scaling up a single-day volatility to a multi …-day volatility, precisely a ?-root-of-time rule, where ? is the characteristic parameter of the process. We use this rule to forecast … future volatility and as a result estimate Value-at-Risk (VaR) several days ahead and compare it to the RiskMetricsTM (1996 …

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios …, within the month. Over the period 1962–95 there has been a noticeable increase in firm-level volatility relative to market …

implications about the expected relationship between the preponderance of disposition investors in the market and stock volatility … fraction of ‘irrational’ investor trades in a stock increases, stock volatility, return and trading volume decrease. We further …

to an end. This paper offers evidence that the decrease in output volatility still remains in force despite the GR and …