spb/wp46_uqo

1# Model card — `sv` (stochastic volatility) — UNSUPPORTED, not scored23## 1. Identity4- **model_id:** `sv` · **family:** score-driven (non-GARCH) in the registry grouping · **tier:** A · **status:** unsupported · **impl:** none · **distributions:** [] (registry note: "simulation-based estimation not feasible at the rolling re-estimation cadence of this benchmark; not scored")5- **Seminal citation:** `kim1998stochastic` (Kim, Shephard & Chib 1998). Related: `taylor1994modeling`, `taylor2008modelling` (origin), `jacquier1994bayesian` (Bayesian SV), `harvey1994multivariate` (QML via the Kalman filter).67## 2. Definition (literature)8Log-SV: $r_t = \mu + \exp(h_t/2)\,z_t$, $h_t = \alpha + \phi\,h_{t-1} + \sigma_\eta\,\eta_t$, $(z_t, \eta_t)$ i.i.d. Gaussian (possibly correlated for leverage); the variance is latent, so the likelihood is an integral over the volatility path.910## 3–6. Parameter space, estimation, forecasting11Not implemented. Estimation requires MCMC/particle filtering or QML on $\log r_t^2$ (`harvey1994multivariate`), and forecasts require filtering the latent state.1213## 7. Implementation / why not scored14Rolling re-estimation every 5 days over ≈ 42 instruments × 3,700 origins makes simulation-based estimation infeasible within the compute budget (registry note, D-11); no version-locked library in the stack. Listed in the matrix as "extension (optional, 'if feasible')".1516## 8–9. Limitations / footprint17Not applicable; compute class "simulation/Bayesian" (brief).1819## 10. Literature expectations20`kim1998stochastic` compare SV with GARCH and find SV competitive in likelihood terms; no cross-asset multi-horizon forecasting benchmark in the matrix.21