Realized Volatility Forecasting on S&P 500 monthly realized volatility 2000-2025 (out-of-sample)
0.68MSEHAR-RV
Evaluation Results
| Method | Links | ||||
|---|---|---|---|---|---|
| HAR-RVTime/month=<0.001 s2026.02 | 0.68 | 0.645 | 1 | — | |
| MIDASJ=3, Inference Method=CAVI, Time/month=0.009 s2026.02 | 0.688 | 0.633 | 1.011 | 0.864 | |
| MIDASJ=3, Inference Method=Gibbs, Time/month=2.48 s2026.02 | 0.702 | 0.635 | 1.031 | 0.633 | |
| AR(4)Time/month=<0.001 s2026.02 | 0.711 | 0.653 | 1.046 | 0.358 | |
| AR(1)Time/month=<0.001 s2026.02 | 0.713 | 0.657 | 1.048 | 0.045 | |
| MIDASJ=1, Inference Method=CAVI, Time/month=0.001 s2026.02 | 0.72 | 0.651 | 1.058 | 0.226 | |
| MIDASJ=1, Inference Method=Gibbs, Time/month=1.13 s2026.02 | 0.72 | 0.651 | 1.058 | 0.224 | |
| Historical AvgTime/month=<0.001 s2026.02 | 0.997 | 0.802 | 1.465 | 0 |