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Figure 1. We continue with two-way aggregation of the regres-
Figure 1. Sample Rreturns on past volatility and future volatility on past volatility
Figure 2. Effect of aggregation on return predictability. The excess returns, Ret,t+H, are plotted versus RVt−H,H for the NYSE/AMEX indexfrom 1952 to 2011.
Table 1 for the horizon H = 120 and T = 708 observations, asin Section 2. Table 1 shows that even asymptotically, the sample
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