In this paper we investigate whether or not the volatility per period of stocks is lower over longer horizons. Taking the perspective of an investor, we evaluate the predictive variance of k-period returns under different model and prior specifications. We adopt the state space framework of P...

Most asset return series, especially those in high frequency, show high excess kurtosis and persistence in volatility that cannot be adequately described by the generalized conditional heteroscedastic (GARCH) model, even with heavy-tailed innovations. Many researchers have argued that these...