Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational …