findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …

This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …