Christoffersen, Peter F.; Diebold, Francis X. - In: The Review of Economics and Statistics 82 (2000) 1, pp. 12-22
It depends. If volatility fluctuates in a forecastable way, volatility forecasts are useful for risk management (hence the interest in volatility forecastability in the risk management literature). Volatility forecastability, however, varies with horizon, and different horizons are relevant in...