For S&P 500 stocks, forecasts built from common volatility factors beat the HAR benchmark in daily at-the-money straddle portfolios (Sharpe 0.80 vs 0.63) even though they do not win on standard forecast-error metrics.
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Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?
For S&P 500 stocks, forecasts built from common volatility factors beat the HAR benchmark in daily at-the-money straddle portfolios (Sharpe 0.80 vs 0.63) even though they do not win on standard forecast-error metrics.