{"id":"W3193155117","doi":"10.1002/for.993","title":"Forecasting volatility","year":2006,"lang":"en","type":"article","venue":"Journal of Forecasting","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":55,"is_retracted":false,"has_abstract":true,"ca_institutions":"Concordia University","funders":"Social Sciences and Humanities Research Council of Canada","keywords":"Volatility (finance); Econometrics; Forward volatility; Implied volatility; Stochastic volatility; Volatility smile; Economics; Realized variance; Volatility swap; Volatility risk premium","routes":{"ca_aff":true,"ca_fund":true,"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":[0.001252126,0.0003614332,0.0003572946,0.0009040185,0.0001509329,0.001403508,0.0004118269,0.0006789753,0.002379767],"category_scores_gemma":[0.010322,0.0001354585,0.0002627689,0.0008286881,0.0002059041,0.001094743,0.0003418946,0.0006676198,0.0007111757],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004816672,"about_ca_system_score_gemma":0.0003184883,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002719908,"about_ca_topic_score_gemma":0.001416025,"domain_scores_codex":[0.9996182,0.0001155899,0.00001779531,0.00007311784,0.0001505939,0.00002475616],"domain_scores_gemma":[0.9979458,0.001318649,0.0002124491,0.0001852962,0.0002954214,0.00004234616],"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":[0.00008625171,0.00004180509,0.02487493,0.00007197795,0.00009107251,0.0001124112,0.0001001058,0.7870885,0.003391605,0.03653904,0.006970068,0.1406323],"study_design_scores_gemma":[0.000005569558,0.00001556522,0.004107418,0.00001784854,0.0000102239,0.00002095688,0.00002158871,0.9739434,0.001517777,0.01849755,0.001830189,0.00001201595],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.4804112,0.002022485,0.4846916,0.002177184,0.0003815937,0.0000624484,0.001926811,0.001232027,0.02709451],"genre_scores_gemma":[0.979872,0.0005177243,0.0173266,0.00005692618,0.00008673099,0.00001503278,0.0006126857,0.00004410534,0.001468131],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002719908,"threshold_uncertainty_score":0.007961154,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.08245622204750369,"score_gpt":0.2241866021693835,"score_spread":0.1417303801218798,"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."}}