We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the … specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use … data, we find that daily realized power (involving 5-minute absolute returns) is the best predictor of future volatility …

induced by the financial liberalization processes that these countries went through in the early 1990's. We find that cycles … in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …. However, after financial liberalization Latin American stock markets have behaved more similarly to stock markets in developed …

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to … has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries …

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …