Predicting Long-Term Stock Return Volatility: Implications for Accounting and Valuations of Equity Derivatives.
实证研究长期股票收益波动率的预测方法，使用历史波动率预测五年期月度波动率，并基于可比公司历史波动率构建预测，再通过向可比公司预测收缩调整形成最终预测。
Abstract Examines empirically the prediction of long-term stock return volatility. Using historical volatility to predict five-year monthly volatility; Constructing a forecast based on historical volatilities of comparable films; Forming a shrinkage forecast by adjusting a historical forecast toward a comparable-firms forecast.