bad) stock market volatility, we show that incorporating the information in lagged industry returns can help improve out …-of sample forecasts of aggregate stock market volatility. While the predictive contribution of industry level returns is not … crisis, highlighting the informational value of real economic activity on stock market volatility dynamics. Finally, we show …

macroeconomic variables for forecasting the volatility of gold-price fluctuations. We use an out-of-sample R2 statistic to evaluate … when underestimating rather than overestimating the future volatility of gold-price fluctuations. We use a simulation …