Asymmetric volatility models improve financial return forecasts up to 30 days.
The article compares different models to predict how volatile financial markets will be in the future. They use data from stock markets and foreign exchange rates to see which model works best. The researchers find that asymmetric models, which take into account different types of market movements, are better at predicting volatility than traditional models for most of the datasets. This improvement lasts for about 10 days into the future before all models become equally accurate.