Before revision:  We work with a parsimonious parametrization of ordered binary choice regression that quite precisely forecasts future conditional probability distributions of returns , using past indicator and past volatility proxy as predictors.
After revision:  We work with a parsimonious parametrization of ordered binary choice regression that imposes a connection on sign predictability across different quantiles. The model forecasts the future conditional probability distributions of returns , using past indicator and past volatility proxy as predictors.