-of-sample nonparametric forecast outperforms the historical mean model and linear predictive models …

either stock return or dividend growth, or both in a local period. Our findings are robust to several forecast horizons …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error …