====================================================================== RQ2: IV SURFACE vs GARCH/HAR-RV FOR RV FORECASTING ====================================================================== Loaded 264,383 rows --- IN-SAMPLE PANEL REGRESSIONS --- 1-Day RV | HAR-RV: R²=0.358520, Adj-R²=0.358513, N=264,345 1-Day RV | GARCH_proxy: R²=0.325829, Adj-R²=0.325824, N=264,380 1-Day RV | IV_only: R²=0.390419, Adj-R²=0.390399, N=120,280 1-Day RV | IV_surface: R²=0.390833, Adj-R²=0.390802, N=119,093 1-Day RV | HAR-RV + IV_surface: R²=0.442019, Adj-R²=0.441977, N=119,093 5-Day RV | HAR-RV: R²=0.888112, Adj-R²=0.888110, N=264,345 5-Day RV | GARCH_proxy: R²=0.648099, Adj-R²=0.648096, N=264,376 5-Day RV | IV_only: R²=0.495380, Adj-R²=0.495363, N=120,280 5-Day RV | IV_surface: R²=0.495771, Adj-R²=0.495745, N=119,093 5-Day RV | HAR-RV + IV_surface: R²=0.896165, Adj-R²=0.896157, N=119,093 --- OUT-OF-SAMPLE ROLLING EVALUATION --- 1-Day RV: avg_mse avg_mae avg_r2_oos avg_qlike n_windows model GARCH_proxy 0.000000 0.000248 -0.047985 0.343155 420 HAR-RV 0.000000 0.000242 -0.013892 809.923668 420 HAR-RV + IV_surface 0.000199 0.000441 -538.984100 73606.877600 175 IV_only 0.000222 0.000451 -614.993738 66708.491605 175 IV_surface 0.000212 0.000456 -573.915933 82761.970852 175 5-Day RV: avg_mse avg_mae avg_r2_oos avg_qlike n_windows model GARCH_proxy 0.000003 0.000811 0.212564 0.146250 420 HAR-RV 0.000001 0.000359 0.779208 397.422137 420 HAR-RV + IV_surface 0.002604 0.001127 -218.622438 41339.614329 175 IV_only 0.005325 0.002113 -468.611565 321269.379086 175 IV_surface 0.005228 0.002155 -440.298992 271952.293141 175 --- MODEL COMPARISON: DIEBOLD-MARIANO TESTS --- ticker target mse_har mse_har_iv mse_improvement_pct dm_statistic dm_significant_5pct AAPL 1-Day RV 1.795004e-07 1.609891e-07 10.312714 2.543037 True ADBE 1-Day RV 5.058042e-07 5.113743e-07 -1.101248 -0.307048 False AMD 1-Day RV 6.382802e-07 5.635916e-07 11.701544 3.128996 True AMZN 1-Day RV 4.187880e-07 3.941619e-07 5.880313 0.262343 False BA 1-Day RV 3.302176e-07 4.590691e-07 -39.020186 -6.393674 True BAC 1-Day RV 1.262583e-07 1.254460e-07 0.643358 0.056823 False CAT 1-Day RV 3.398498e-07 2.286549e-07 32.718845 4.265490 True COST 1-Day RV 5.349085e-08 4.045972e-08 24.361432 2.935665 True CRM 1-Day RV 4.419191e-07 4.022193e-07 8.983493 1.611933 False CSCO 1-Day RV 1.597641e-07 2.147281e-07 -34.403211 -3.765544 True AAPL 5-Day RV 6.932414e-07 6.662166e-07 3.898338 1.697747 False ADBE 5-Day RV 1.347337e-06 1.340664e-06 0.495248 0.189329 False AMD 5-Day RV 2.497767e-06 2.354382e-06 5.740531 1.676824 False AMZN 5-Day RV 1.480534e-06 1.838308e-06 -24.165155 -7.506643 True BA 5-Day RV 8.837293e-07 1.129810e-06 -27.845697 -5.064796 True BAC 5-Day RV 2.966369e-07 3.014497e-07 -1.622478 -0.441737 False CAT 5-Day RV 9.781953e-07 9.976767e-07 -1.991575 -0.335153 False COST 5-Day RV 1.190912e-07 1.055269e-07 11.389799 2.318175 True CRM 5-Day RV 9.623117e-07 1.008739e-06 -4.824586 -1.884618 False CSCO 5-Day RV 3.561119e-07 4.028011e-07 -13.110828 -2.535627 True ====================================================================== RQ2 SUMMARY ====================================================================== In-sample R² comparison: target 1-Day RV 5-Day RV model GARCH_proxy 0.325829 0.648099 HAR-RV 0.358520 0.888112 HAR-RV + IV_surface 0.442019 0.896165 IV_only 0.390419 0.495380 IV_surface 0.390833 0.495771 RQ2 COMPLETE.