On the practical side of using trading rules, this paper shows that using them to forecast conditional
means can be very dangerous in the current market. This danger is above and beyond the usual problems
of transactions costs, and issues related to actually implementing a strategy. However, it remains to be
seen if the strategy’s volatility predicting capabilities could offer an edge in either trading options, or risk
management. This paper suggests that such a study might be very interesting, given that conditional variance
predictability is robust across time periods.