Forthcoming in the Journal of Empirical Finance The Quality of MarketVolatilityForecasts Im

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00.1

0.2

0.3

0.4

0.5

0.6

0.7

Lead length

Coefficient

A: Time decay in terms of β

B: Time decay in terms of R

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00.01

0.02

0.03

0.04

0.05

0.06

0.07

Lead length

Coefficient