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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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1Model,Target,MSE,MAE,R²_OOS2VIX (benchmark),1-Day RV,1.8354898166915323e-07,0.0001370566676679575,0.335483179469866833OLS: HAR-RV,1-Day RV,1.556101069980116e-07,0.00010183008727700095,0.436632485757611934OLS: IV Surface,1-Day RV,1.4123296316726837e+60,2.1223946042564297e+29,-5.113168091944531e+665OLS: HAR + IV Surface,1-Day RV,1.1295446635072303e+60,1.898059407933492e+29,-4.089379421311973e+666Random Forest,1-Day RV,2.3678047921607625e-07,0.00011479149396503862,0.142765000484275657Gradient Boosting,1-Day RV,2.500662530462015e-07,0.00012818487544666185,0.094665468121895918VIX (benchmark),5-Day RV,1.8870322389877113e-06,0.0005425211878621192,0.59741044382924829OLS: HAR-RV,5-Day RV,2.452162286605996e-07,0.00014312074057870415,0.94768425752212110OLS: IV Surface,5-Day RV,7.364371760134164e+60,4.8464746934267545e+29,-1.5711544811652463e+6611OLS: HAR + IV Surface,5-Day RV,2.6814852401530494e+60,2.9244607891348172e+29,-5.72082410892328e+6512Random Forest,5-Day RV,3.160463899461795e-06,0.0002967220076842,0.3257297187139932513Gradient Boosting,5-Day RV,3.0657517724840487e-06,0.0003145214263699527,0.345936110727949314VIX (benchmark),22-Day RV,2.111080782413802e-05,0.002160767281830546,0.617859107944024315OLS: HAR-RV,22-Day RV,3.518034908471207e-07,0.0001708624021174313,0.993631769047368816OLS: IV Surface,22-Day RV,6.077728481906348e+18,292924364.5428955,-1.1001703975980064e+2317OLS: HAR + IV Surface,22-Day RV,1.2399527460097137e+60,1.988660578447203e+29,-2.2445216327800854e+6418Random Forest,22-Day RV,3.7075071131017465e-05,0.0010244326639557342,0.328879270131660219Gradient Boosting,22-Day RV,3.586097345936983e-05,0.0010316730008989516,0.3508564664166846620