spb/wp7_uqo Public
UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.
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1======================================================================2RQ2: IV SURFACE vs GARCH/HAR-RV FOR RV FORECASTING3======================================================================4Loaded 264,383 rows56--- IN-SAMPLE PANEL REGRESSIONS ---7 1-Day RV | HAR-RV: R²=0.358520, Adj-R²=0.358513, N=264,3458 1-Day RV | GARCH_proxy: R²=0.325829, Adj-R²=0.325824, N=264,3809 1-Day RV | IV_only: R²=0.390419, Adj-R²=0.390399, N=120,28010 1-Day RV | IV_surface: R²=0.390833, Adj-R²=0.390802, N=119,09311 1-Day RV | HAR-RV + IV_surface: R²=0.442019, Adj-R²=0.441977, N=119,09312 5-Day RV | HAR-RV: R²=0.888112, Adj-R²=0.888110, N=264,34513 5-Day RV | GARCH_proxy: R²=0.648099, Adj-R²=0.648096, N=264,37614 5-Day RV | IV_only: R²=0.495380, Adj-R²=0.495363, N=120,28015 5-Day RV | IV_surface: R²=0.495771, Adj-R²=0.495745, N=119,09316 5-Day RV | HAR-RV + IV_surface: R²=0.896165, Adj-R²=0.896157, N=119,0931718--- OUT-OF-SAMPLE ROLLING EVALUATION ---1920 1-Day RV:21 avg_mse avg_mae avg_r2_oos avg_qlike n_windows22model 23GARCH_proxy 0.000000 0.000248 -0.047985 0.343155 42024HAR-RV 0.000000 0.000242 -0.013892 809.923668 42025HAR-RV + IV_surface 0.000199 0.000441 -538.984100 73606.877600 17526IV_only 0.000222 0.000451 -614.993738 66708.491605 17527IV_surface 0.000212 0.000456 -573.915933 82761.970852 1752829 5-Day RV:30 avg_mse avg_mae avg_r2_oos avg_qlike n_windows31model 32GARCH_proxy 0.000003 0.000811 0.212564 0.146250 42033HAR-RV 0.000001 0.000359 0.779208 397.422137 42034HAR-RV + IV_surface 0.002604 0.001127 -218.622438 41339.614329 17535IV_only 0.005325 0.002113 -468.611565 321269.379086 17536IV_surface 0.005228 0.002155 -440.298992 271952.293141 1753738--- MODEL COMPARISON: DIEBOLD-MARIANO TESTS ---39ticker target mse_har mse_har_iv mse_improvement_pct dm_statistic dm_significant_5pct40 AAPL 1-Day RV 1.795004e-07 1.609891e-07 10.312714 2.543037 True41 ADBE 1-Day RV 5.058042e-07 5.113743e-07 -1.101248 -0.307048 False42 AMD 1-Day RV 6.382802e-07 5.635916e-07 11.701544 3.128996 True43 AMZN 1-Day RV 4.187880e-07 3.941619e-07 5.880313 0.262343 False44 BA 1-Day RV 3.302176e-07 4.590691e-07 -39.020186 -6.393674 True45 BAC 1-Day RV 1.262583e-07 1.254460e-07 0.643358 0.056823 False46 CAT 1-Day RV 3.398498e-07 2.286549e-07 32.718845 4.265490 True47 COST 1-Day RV 5.349085e-08 4.045972e-08 24.361432 2.935665 True48 CRM 1-Day RV 4.419191e-07 4.022193e-07 8.983493 1.611933 False49 CSCO 1-Day RV 1.597641e-07 2.147281e-07 -34.403211 -3.765544 True50 AAPL 5-Day RV 6.932414e-07 6.662166e-07 3.898338 1.697747 False51 ADBE 5-Day RV 1.347337e-06 1.340664e-06 0.495248 0.189329 False52 AMD 5-Day RV 2.497767e-06 2.354382e-06 5.740531 1.676824 False53 AMZN 5-Day RV 1.480534e-06 1.838308e-06 -24.165155 -7.506643 True54 BA 5-Day RV 8.837293e-07 1.129810e-06 -27.845697 -5.064796 True55 BAC 5-Day RV 2.966369e-07 3.014497e-07 -1.622478 -0.441737 False56 CAT 5-Day RV 9.781953e-07 9.976767e-07 -1.991575 -0.335153 False57 COST 5-Day RV 1.190912e-07 1.055269e-07 11.389799 2.318175 True58 CRM 5-Day RV 9.623117e-07 1.008739e-06 -4.824586 -1.884618 False59 CSCO 5-Day RV 3.561119e-07 4.028011e-07 -13.110828 -2.535627 True6061======================================================================62RQ2 SUMMARY63======================================================================6465In-sample R² comparison:66target 1-Day RV 5-Day RV67model 68GARCH_proxy 0.325829 0.64809969HAR-RV 0.358520 0.88811270HAR-RV + IV_surface 0.442019 0.89616571IV_only 0.390419 0.49538072IV_surface 0.390833 0.4957717374RQ2 COMPLETE.75