Filipović, Damir; Khalilzadeh, Amir - 2021
We use machine learning methods to predict stock return volatility. Our out-of-sample prediction of realised volatility … realised volatility of 43.8% with an R2 being as high as double the ones reported in the literature. We further show that … machine learning methods can capture the stylized facts about volatility without relying on any assumption about the …
