Improving Markov switching models using realized variance (replication data)
Bibliographic record
Abstract
This paper proposes a class of models that jointly model returns and ex post variance measures under a Markov switching framework. Both univariate and multivariate return versions of the model are introduced. Estimation can be conducted under a fixed dimension state space or an infinite one. The proposed models can be seen as nonlinear common factor models subject to Markov switching and are able to exploit the information content in both returns and ex post volatility measures. Applications to equity returns compare the proposed models to existing alternatives. The empirical results show that the joint models improve density forecasts for returns and point predictions of return variance. Using the information in ex post volatility measures can increase the precision of parameter estimates, sharpen the inference on the latent state variable, and improve portfolio decisions.
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How this classification was reachedexpand
Direct model labels (unvalidated)
Per-model category and study-design labels from the labeling rounds. They are machine output, unvalidated, and the disagreement between models ships as data. No study design here is MEDLINE-validated yet.
| Model arm | Categories | Study design | Confidence |
|---|---|---|---|
| gemma | no category Domain: not available · Genre: Dataset About the Canadian research system: no · About a Canadian topic: no | Not applicable | low |
| gpt | no category Domain: not available · Genre: Dataset About the Canadian research system: no · About a Canadian topic: no | Not applicable | high |
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.012 | 0.036 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.002 | 0.003 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.002 | 0.004 |
| Open science | 0.003 | 0.003 |
| Research integrity | 0.002 | 0.003 |
| Insufficient payload (model declined to judge) | 0.003 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedLabeled directly by 2 models reading the full record.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".