based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

accuracy of stock return volatility. Unfortunately, most of them were lack of out-of-sample validations, had inadequate … sentiment measures have extra predictive value for forecasting volatility when controlling for technical measures. Using a large … predicting stock volatility for different forecast horizons and different time window, while controlling for technical measures …