Editorial
Volatility of financial returns as a measure of risk is a key parameter in asset pricing and risk management and holding periods for financial instruments of several weeks or month are common. Nevertheless, little is known about the predictability of return volatility at longer horizons. In the present paper, the author investigates the predictability of return volatility of the German DAX for forecasting horizons from one day to 45 days with a new model-free test procedure that avoids joint assessments of predictability and assumed volatility models. In Monte Carlo simulations the new test is compared with two alternative model-free test procedures. The simulations indicate that the new test has good statistical properties and is more powerful then the other two tests if the distribution of returns is fat tailed.