We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … incorporating monetary policy and shocks with time-varying volatility. The predictability decline is consistent with changes in both … volatility, more persistent shocks with reduced volatility explain the lower predictability …

Volatility implied in option prices reflects the market participant's beliefs about future volatility and incorporates … information that is not historical. Implied volatility is therefore widely believed to perform better as an indicator of future … volatility than other forecasts based on historical time-series. In this study, I investigate the information content and …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

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