# Pre-registered forecasting protocol (frozen with docs/preregistered_protocol.md; git tag prereg-frozen).
units: {returns: "percent log return", variance: "percent^2"}
horizons: [1, 5, 22]                 # trading days; target = variance of the h-day cumulative return
estimation:
  scheme: rolling                    # primary; 'expanding' and window 2000 are robustness variants
  window: 1000
  refit_every: 5                     # trading days; daily filtering with fixed parameters in between
  max_restarts: 3
  seed: 46
  simulation_paths: 2000             # multi-step forecasts for models without an analytic recursion
periods:
  validation: {start: "2012-01-03", end: "2015-12-31"}   # used for design checks and failure accounting only
  test: {start: "2016-01-04", end: "2026-10-30"}         # untouched until the protocol is frozen
primary_loss: qlike
primary_proxy: rv5ss_on
secondary_losses: [mse, mae, mse_sd]
secondary_proxies: [rv5_on, rv1_on, bv5_on, medrv_on, r2, rv5ss_scaled]
tier_b_input: rv5ss_on
inference:
  dm: {hac: "Newey-West Bartlett", bandwidth: "h - 1 + floor(4 (n/100)^(2/9))"}
  mcs: {alpha: 0.10, bootstrap: stationary, block_length: 22, reps: 2000, statistic: "Tmax"}
  spa: {reps: 2000, block_length: 22}
  cross_asset: "block bootstrap over time with assets kept together (dependence across assets preserved)"
tail_risk: {levels: [0.01, 0.05], tests: [kupiec_uc, christoffersen_cc, engle_manganelli_dq, fz0_loss]}
regimes:
  trailing_vol_terciles: "terciles of the 22-day trailing realized variance of the instrument, computed at the origin (no look-ahead), thresholds from the validation period"
  calendar_episodes:
    covid: {start: "2020-02-20", end: "2020-06-30"}
    rate_shock_2022: {start: "2022-01-03", end: "2022-12-30"}
    tariff_shock_2025: {start: "2025-04-02", end: "2025-05-30"}
  return_sign: "sign of the previous day's return at the origin"