We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the nai͏̈ve forecast provided by historical volatility. As a somewhat surprising result, we also …, volatility. …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the nai͏̈ve forecast provided by historical volatility. As a somewhat surprising result, we also …

form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …

A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under … Autoregressive Conditional Heteroskedasticity models ((FI)GARCH), the Stochastic Volatility model (SV) and the Markov … different characterizations of the latent volatility process: specifications which incorporate short/long memory, autoregressive …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …