Volatility Forecasting on S&P 500 Realized Volatility (test)
0.59R2 (Sig)Sig
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| SigPast-window size p=202026.03 | 0.59 | — | — | |
| SigPast-window size p=602026.03 | 0.58 | — | — | |
| SigPast-window size p=1102026.03 | 0.57 | — | — | |
| SigPast-window size p=1502026.03 | 0.56 | — | — | |
| SigPast-window size p=2002026.03 | 0.52 | — | — | |
| SigPast-window size p=2402026.03 | 0.47 | — | — | |
| SigPast-window size p=1502026.03 | 0.39 | — | — | |
| SigPast-window size p=602026.03 | 0.38 | — | — | |
| SigPast-window size p=1102026.03 | 0.38 | — | — | |
| SigPast-window size p=2002026.03 | 0.35 | — | — | |
| SigPast-window size p=202026.03 | 0.34 | — | — | |
| SigPast-window size p=2402026.03 | 0.34 | — | — | |
| SigPast-window size p=1502026.03 | 0.31 | — | — | |
| SigPast-window size p=1102026.03 | 0.29 | — | — | |
| SigPast-window size p=2002026.03 | 0.28 | — | — | |
| SigPast-window size p=602026.03 | 0.27 | — | — | |
| SigPast-window size p=2402026.03 | 0.27 | — | — | |
| SigPast-window size p=202026.03 | 0.22 | — | — | |
| HARPast-window size p=202026.03 | — | — | 0.59 | |
| HARPast-window size p=602026.03 | — | — | 0.59 | |
| HARPast-window size p=1102026.03 | — | — | 0.59 | |
| HARPast-window size p=1502026.03 | — | — | 0.59 | |
| HARPast-window size p=2002026.03 | — | — | 0.59 | |
| HARPast-window size p=2402026.03 | — | — | 0.59 | |
| HARPast-window size p=202026.03 | — | — | 0.35 | |
| HARPast-window size p=602026.03 | — | — | 0.39 | |
| HARPast-window size p=1102026.03 | — | — | 0.39 | |
| HARPast-window size p=1502026.03 | — | — | 0.39 | |
| HARPast-window size p=2002026.03 | — | — | 0.39 | |
| HARPast-window size p=2402026.03 | — | — | 0.39 | |
| HARPast-window size p=202026.03 | — | — | 0.26 | |
| HARPast-window size p=602026.03 | — | — | 0.26 | |
| HARPast-window size p=1102026.03 | — | — | 0.26 | |
| HARPast-window size p=1502026.03 | — | — | 0.26 | |
| HARPast-window size p=2002026.03 | — | — | 0.26 | |
| HARPast-window size p=2402026.03 | — | — | 0.26 | |
| VSigPast-window size p=202026.03 | — | 0.59 | — | |
| VSigPast-window size p=602026.03 | — | 0.6 | — | |
| VSigPast-window size p=1102026.03 | — | 0.62 | — | |
| VSigPast-window size p=1502026.03 | — | 0.63 | — | |
| VSigPast-window size p=2002026.03 | — | 0.64 | — | |
| VSigPast-window size p=2402026.03 | — | 0.64 | — | |
| VSigPast-window size p=202026.03 | — | 0.34 | — | |
| VSigPast-window size p=602026.03 | — | 0.38 | — | |
| VSigPast-window size p=1102026.03 | — | 0.39 | — | |
| VSigPast-window size p=1502026.03 | — | 0.4 | — | |
| VSigPast-window size p=2002026.03 | — | 0.41 | — | |
| VSigPast-window size p=2402026.03 | — | 0.43 | — | |
| VSigPast-window size p=202026.03 | — | 0.21 | — | |
| VSigPast-window size p=602026.03 | — | 0.25 | — | |
| VSigPast-window size p=1102026.03 | — | 0.28 | — | |
| VSigPast-window size p=1502026.03 | — | 0.29 | — | |
| VSigPast-window size p=2002026.03 | — | 0.3 | — | |
| VSigPast-window size p=2402026.03 | — | 0.32 | — |