spb/wp46_uqo

1% ============================================================================2% UQO Working Paper No. 46 — Four Decades of Conditional Volatility Modeling3% ============================================================================4\documentclass[12pt,letterpaper]{article}5\usepackage[utf8]{inputenc}6\usepackage[T1]{fontenc}7\usepackage[english]{babel}8\usepackage[letterpaper,top=1in,bottom=1in,left=1in,right=1in]{geometry}9\usepackage{amsmath,amsthm}10\usepackage{mathtools}11\allowdisplaybreaks12\usepackage{newtxtext}13\usepackage[varvw,cmintegrals,cmbraces]{newtxmath}14\usepackage{bm}15\usepackage{dsfont}16\usepackage{microtype}17\usepackage{setspace}18\onehalfspacing19\usepackage{booktabs,tabularx,multirow,threeparttable,longtable,adjustbox,rotating}20\usepackage{siunitx}21\sisetup{input-symbols = {()}, table-format = -1.3, parse-numbers = false}22\usepackage{graphicx,subcaption,float}23\usepackage[dvipsnames]{xcolor}24\usepackage[pdftitle={Four Decades of Conditional Volatility Modeling: A Comprehensive Empirical Benchmark Across Assets, Frequencies, and Market Regimes},25  pdfauthor={Simon-Pierre Boucher}, colorlinks=true, linkcolor=NavyBlue, citecolor=NavyBlue, urlcolor=NavyBlue, breaklinks=true]{hyperref}26\usepackage[authoryear,round,semicolon]{natbib}27\bibliographystyle{aer}28\usepackage[font=small,labelfont=bf,labelsep=period,justification=justified,singlelinecheck=false]{caption}29\usepackage{fancyhdr}30\pagestyle{fancy}\fancyhf{}\renewcommand{\headrulewidth}{0pt}\fancyfoot[C]{\thepage}31\usepackage{titlesec}32\titleformat{\section}{\large\bfseries}{\thesection.}{0.5em}{}33\titleformat{\subsection}{\normalsize\bfseries}{\thesubsection.}{0.5em}{}34\titleformat{\subsubsection}{\normalsize\itshape}{\thesubsubsection.}{0.5em}{}35\usepackage[toc,page]{appendix}36\usepackage{enumitem}37\setlist{nosep,leftmargin=*}38\theoremstyle{definition}39\newtheorem{hypothesis}{Hypothesis}4041% ============================================================================42% METADATA (numbers.tex is generated by scripts/build_paper.py — never edited by hand)43% ============================================================================44\input{numbers}45\newcommand{\WPnumber}{46}46\newcommand{\WPtitle}{Four Decades of Conditional Volatility Modeling: A Comprehensive Empirical Benchmark Across Assets, Frequencies, and Market Regimes}47\newcommand{\WPsubtitle}{Does Anything Beat GARCH(1,1) Once Information Sets, Failures and Compute Are Priced In?}48\newcommand{\WPdate}{November 2026}49\newcommand{\WPversion}{1.0}50\newcommand{\WPabstract}{\input{sections/abstract}}51\newcommand{\WPkeywords}{volatility forecasting, GARCH, realized volatility, model confidence set, pre-registration, forecast evaluation, tail risk}52\newcommand{\WPjel}{C22, C52, C53, C58, G17}53\newcommand{\WPauthor}{Simon-Pierre Boucher}54\newcommand{\WPaffiliation}{Département des sciences administratives\\Université du Québec en Outaouais}55\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}56\newcommand{\WPaddress}{Gatineau -- Pavillon Alexandre-Taché\\283, boulevard Alexandre-Taché\\Gatineau, Québec, Canada J9A 1L8}5758% --- Notation ---59\newcommand{\E}{\mathbb{E}}60\newcommand{\Var}{\mathrm{Var}}61\newcommand{\Prob}{\mathbb{P}}62\newcommand{\ind}[1]{\mathds{1}\!\left[#1\right]}63\newcommand{\RV}{\mathrm{RV}}64\newcommand{\QLIKE}{\mathrm{QLIKE}}65\newcommand{\F}{\mathcal{F}}6667\begin{document}68\input{sections/titlepage}69\input{sections/introduction}70\input{sections/literature}71\input{sections/taxonomy}72\input{sections/data}73\input{sections/design}74\input{sections/results_daily}75\input{sections/results_realized}76\input{sections/results_tail_multivariate}77\input{sections/results_heterogeneity}78\input{sections/frontier}79\input{sections/results_extensions}80\input{sections/conclusion}81\bibliography{references}82\clearpage83\begin{appendices}84\input{appendices/formulas}85\input{appendices/data_provenance}86\input{appendices/verification}87\input{appendices/extra_tables}88\end{appendices}89\end{document}90