According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an...

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an...

Asymptotic variance of estimated parameters in models of conditional expectations are calculated analytically assuming a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single-period models can posses substantially larger asymptotic...