Do misalignments predict aggregated stock-market volatility?

Christophe Boucher (), Bertrand Maillet and Thierry Michel
Additional contact information
Christophe Boucher: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Bertrand Maillet: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper considers forecasting regressions of "realized volatility" on a misalignment measure. Results show that this misalignment measure is useful to predict in and out-of-sample stock-market volatility at monthly horizons. The analysis also suggests a threshold effect.

Keywords: Realized volatility; Volatility forecasting; Asymmetry (search for similar items in EconPapers)
Date: 2008-08
References: Add references at CitEc
Citations:

Published in Economics Letters, 2008, 100 (2), pp.317-320. ⟨10.1016/j.econlet.2008.02.019⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00307783

DOI: 10.1016/j.econlet.2008.02.019

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().