name: baselines
description: Baseline specifications (matched information set = completed bars at the origin; tuned on the training/validation periods only).
naive_rw:
  window: 390 one-minute bars
  distribution: Gaussian, zero mean, scale = trailing RMS one-minute return x sqrt(H)
seasonal_vol:
  profile: past-20-session mean squared return per slot (past only)
  level_adjustment: trailing 30-minute RV over the seasonal counterpart, clipped to [0.25, 4]
ewma:
  lambda: 0.97 per minute
  nu: 5
  history: last 3 sessions of one-minute returns
har_rv:
  regressors: log RV 30 min, log RV 390 min, log RV 5 days, time of day, time of day squared, log H
  fit: OLS on training origins, one regression per horizon
  nu: method of moments on standardised training residuals, clipped to [2.5, 50]
garch_t:
  model: GARCH(1,1) with Student-t innovations on 5-minute training returns, one fit per instrument (arch 8)
  forecast: analytic variance term structure over ceil(H/5) steps; own filter over the last 400 five-minute returns
ridge:
  alpha: 1.0
  features: 19 origin features (src/chronos_x/baselines/features.py)
  targets: scaled cumulative return (location) and log scaled realised variance (scale); nu from residual kurtosis
elastic_net:
  alpha: 0.001
  l1_ratio: 0.5
lightgbm:
  n_estimators: 400
  learning_rate: 0.03
  num_leaves: 31
  subsample: 0.8
  colsample_bytree: 0.8
mlp:
  inputs: last 60 one-minute bars (15 features each) + 9 global features + future calendar
  hidden: 256 x 2 (GELU, dropout 0.1)
  head: Student-t per future minute, masked NLL
tcn:
  channels: 96
  blocks: 6 dilated causal convolutions (kernel 3, dilation 1..32) over 390 one-minute bars
  head: Student-t per future minute, masked NLL
not_run:
  chronos_timesfm: "pretrained foundation models not evaluated: weights not available offline on the compute node; tokenisers assume a single real-valued series without missingness masks; licenses/terms not reviewed within this project"
  egarch: "multi-step forecasts require simulation; too slow for the number of evaluation origins; GARCH(1,1)-t reported"
  patchtst_itransformer: "the one-minute-only MRPT variant is the equal-parameter patch-transformer control; iTransformer not implemented"