Commit
WP46: A-06 explosive-forecast diagnostics, trimmed/median ratios, constrained EGARCH extension
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configs/model_registry.yaml
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@@ -55,3 +55,4 @@ models: | ||
| 55 | 55 | fiaparch11: {family: fractional, tier: A, impl: custom, status: extension, dists: [normal, t], label: "FIAPARCH(1,d,1)", ref: tse1998conditional} |
| 56 | 56 | fiegarch11: {family: fractional, tier: A, impl: custom, status: extension, dists: [normal, t], label: "FIEGARCH(1,d,1)", ref: bollerslev1996modeling} |
| 57 | 57 | realegarch11: {family: realized, tier: B, impl: custom, status: extension, dists: [normal, t], label: "Realized EGARCH(1,1)", ref: hansen2016exponential} |
| 58 | + egarch11c: {family: asymmetric, tier: A, impl: arch, status: extension, dists: [normal, t, ged, skewt], label: "EGARCH(1,1), constrained (alpha >= 0, beta <= 0.995)", ref: nelson1991conditional, note: "A-06: constrained twin of egarch11 after the explosive-feedback diagnosis"} | |
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progress.md
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@@ -80,3 +80,11 @@ All times ET. "Done" means executed with the listed command and artefact; "plann | ||
| 80 | 80 | 2 unsupported, 30 out of scope with reasons), `scripts/make_genealogy_figure.py` → `paper/figures/fig_genealogy.pdf` (Figure 1 of the |
| 81 | 81 | taxonomy section), `scripts/make_encyclopedia.py` → `paper/tables/tab_encyclopedia.tex` (Appendix), `docs/genealogy_notes.md` |
| 82 | 82 | (nomenclature traps and package naming); 13 seminal references added and Crossref-verified (218 entries in references.bib). |
| 83 | +- **A-06 (2026-11-09 night, after the corrected test-period analysis):** EGARCH fits that are regular in-sample (log-likelihood above | |
| 84 | + GARCH(1,1)) but have alpha < 0 with beta ≈ 1 produce explosive out-of-sample variance paths on about a third of the instruments | |
| 85 | + (EURUSD 2014-02: sigma2 163 → 927 percent² in four days with no shock; mean QLIKE ratio 10^6). This is a property of the | |
| 86 | + unconstrained arch parameterization, not an optimizer artefact (A-05 did not remove it). Handling: (i) the pre-registered mean | |
| 87 | + QLIKE is reported as is; (ii) every spec now also reports a 1 % trimmed-mean ratio, a median ratio and the share of "explosive" | |
| 88 | + forecasts (cumulative forecast > 100 × the trailing 22-day proxy mean at the origin), and the paper's exhibits use the trimmed | |
| 89 | + statistics for display with the full numbers in the tables; (iii) the admissibility flag of EGARCH now requires alpha ≥ 0; | |
| 90 | + (iv) a constrained twin `egarch11c` (alpha ≥ 0, beta ≤ 0.995) is added as an extension and run on all instruments. | |
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results/manifests/jobs_egarchc.json
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results/metrics/analysis_main_test/per_symbol/AAPL.json
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