An important trend in bank regulation is greater reliance on market discipline. In particular, information impounded in securities prices is increasingly used to complement supervisory activities of regulators with limited resources. The goal of this paper is to analyze the theoretical...

This paper compares the quality of commonly used predictors for the volatility of stock returns. The techniques studied are moving averages of squared returns, GARCH and stochastic volatility models, and the implied volatility. We use a variety of econometric criteria to assess the forecasting...