-step-ahead volatility forecasts. When applied to the S&P 500, the new component model significantly outperforms the nested one-component GJR …

volatility of the Treasury bill market. We demonstrate that differently shaped yield curves can result given different … combinations of volatility and expectations about future spot rates. Moreover, adjusting the forward rate for the volatility …

structure. Moreover, based on strong empirical evidence, we propose a multiplicative volatility factor (MVF) model, where stock … that our MVF model leads to significantly improved volatility prediction. The favorable performance of the proposed MVF …