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future realized volatility. I use an analytical framework to identify accounting-based drivers of equity returns volatility …. My main hypothesis is accounting-based drivers can be used to forecast future volatility incremental to either past … evidence that contradicts a risk-based explanation for the incremental predictive ability of accounting-based variables. Taken …
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Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
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The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...
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Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...
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