{"id":"W2151726729","doi":"10.2139/ssrn.267792","title":"Modeling and Forecasting Realized Volatility","year":2001,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":854,"is_retracted":false,"has_abstract":false,"ca_institutions":"Kellogg's (Canada)","funders":"","keywords":"Econometrics; Volatility (finance); Autoregressive model; Stochastic volatility; Realized variance; Forward volatility; Economics; Variance swap; Computer science","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0005526303,0.0004036893,0.0005540898,0.0003939737,0.0002335363,0.001038985,0.0004187021,0.0007257869,0.0007370306],"category_scores_gemma":[0.00266916,0.0003501379,0.0005420884,0.0004242959,0.0002169638,0.00116352,0.0002968495,0.0007247822,0.0001514316],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004055104,"about_ca_system_score_gemma":0.0003806199,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.004575467,"about_ca_topic_score_gemma":0.003077711,"domain_scores_codex":[0.9998602,0.00004176635,0.0000105753,0.00003380043,0.00003579651,0.00001792443],"domain_scores_gemma":[0.9993968,0.0003995932,0.0000710965,0.00005081925,0.00006199622,0.00001967801],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00003694097,0.00003278277,0.003396849,0.00001831096,0.00004667109,0.00004974921,0.00002675501,0.9604532,0.001898776,0.009557465,0.0004886306,0.02399385],"study_design_scores_gemma":[0.00000127234,0.00000356795,0.0002146567,7.208773e-7,0.000003551997,0.000003616486,0.000001625446,0.9973815,0.0002572401,0.00206562,0.00006508834,0.000001453224],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.4982325,0.0008042651,0.4954228,0.0006710377,0.0001703728,0.00002448685,0.0001756306,0.0004909422,0.004007865],"genre_scores_gemma":[0.9838555,0.0002506298,0.01458459,0.00001834865,0.00005176678,0.00001396623,0.0001119078,0.00002163545,0.001091721],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.004575467,"threshold_uncertainty_score":0.009097636,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04650602769825413,"score_gpt":0.2334025757833126,"score_spread":0.1868965480850585,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}