Volatility forecasting on S&P500
1.14MAERegime-aware (label estimate)
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| Regime-aware (label estimate)selection=label estimate2026.03 | 1.14 | 4.51 | 0.65 | 2.73 | |
| HAR2026.03 | 1.17 | 5.36 | 0.25 | 4.85 | |
| Regime-aware (fixed prior)selection=fixed prior2026.03 | 1.18 | 4.64 | 0.61 | 3.09 | |
| Random selectionselection=random2026.03 | 1.22 | 4.77 | 0.65 | 3.12 | |
| GJR-GARCH2026.03 | 1.33 | 4.64 | 0.72 | 3.76 | |
| GARCH(1,1)2026.03 | 1.34 | 4.8 | 0.71 | 3.86 | |
| Rolling mean2026.03 | 1.41 | 4.87 | 0.73 | 4.13 | |
| One-shot learningmode=one-shot2026.03 | 1.72 | 6.68 | 0.87 | 5.09 |