Boosting Model-free predictions for econometric datasets

This article explores the existing normalizing and variance-stabilizing (NoVaS) method on predicting financial volatility. First, we explore the robustness of the existing NoVaS method for long-term predictions. Then we develop a more parsimonious variant of the existing method. With systematic justification and extensive data analysis, our new method shows better performance than current NoVaS and standard GARCH(1,1) methods on both short- and long-term predictions.