Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

We propose new asymmetric multivariate volatility models. The models exploit estimates of variances and covariances … GARCH pecifications for a number of individual stocks and the aggregate market portfolio as well as larger dimensional …

volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more …

most noteworthy empirical findings to date pertaining to volatility forecasting and asset pricing …

implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new … dividend growth rates. Our equilibrium-based “structural” factor GARCH model permits much more accurate inference than the … direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility …