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Do misalignments predict aggregated stock-market volatility?

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  • Boucher, Christophe
  • Maillet, Bertrand
  • Michel, Thierry

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.

Suggested Citation

  • Boucher, Christophe & Maillet, Bertrand & Michel, Thierry, 2008. "Do misalignments predict aggregated stock-market volatility?," Economics Letters, Elsevier, vol. 100(2), pages 317-320, August.
    • Handle: RePEc:eee:ecolet:v:100:y:2008:i:2:p:317-320
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    References listed on IDEAS

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