Volatility forecasting on NASDAQ
1.67MAERegime-aware (label estimate)
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| Regime-aware (label estimate)selection=label estimate2026.03 | 1.67 | 5.05 | 0.9 | 4.75 | |
| HAR2026.03 | 1.7 | 6.14 | 0.44 | 6.75 | |
| Regime-aware (fixed prior)selection=fixed prior2026.03 | 1.72 | 5.09 | 0.89 | 5.08 | |
| Random selectionselection=random2026.03 | 1.8 | 5.13 | 0.92 | 5.31 | |
| GJR-GARCH2026.03 | 1.97 | 5.51 | 1.21 | 5.01 | |
| GARCH(1,1)2026.03 | 2 | 5.59 | 1.22 | 5.1 | |
| Rolling mean2026.03 | 2.12 | 5.88 | 1.21 | 5.74 | |
| One-shot learningmode=one-shot2026.03 | 2.32 | 7.06 | 1.37 | 6.13 |