Forward-looking metrics of uncertainty based on options-implied information should be highly predictive of equity market returns in accordance with asset pricing theory. Empirically, however, the ability of the VIX, for example, to predict returns is statistically weak. In contrast to other...

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...