United Kingdom Model (UKE7S and UKE7L) Research Notes - Forecasting US Equity Risk Over Different Horizons

Feb 2, 2006

This report introduces the Multiple-Horizon UK Equity Model, available in two versions, UKE7S and UKE7L, which have been constructed explicitly to meet the needs of near-term and long-term investors. Both versions employ daily returns data. Daily data provide denser intra-horizon volatility information than is available from monthly returns, and allow both versions of the new model to make more responsive forecasts than UKE7, the model they replace.