Volatility expectations and disagreement

نویسندگان

چکیده

This paper examines the use of survey-based measures in volatility forecasting. We argue that an aggregate forecast built up from individual forecasts should be sum expected volatilities and dispersion mean return forecasts. data coming a repeated survey to capture expectations returns investors, produce Our are consistent quantitatively similar with based on GARCH implied models. result is robust both in-sample out-of-sample comparisons response news.

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ژورنال

عنوان ژورنال: Journal of Economic Behavior and Organization

سال: 2021

ISSN: ['0167-2681', '1879-1751']

DOI: https://doi.org/10.1016/j.jebo.2021.05.020