Class VolatilityForecaster

java.lang.Object
com.quantfinlib.ml.VolatilityForecaster
public final class VolatilityForecaster extends Object
Machine Learning Risk Forecasting: predicts forward realized volatility from a return series using gradient-boosted trees over engineered features (multi-horizon realized vol, momentum, and shock magnitude), and maps the forecast to an intuitive 0-100 risk score.

  • Constructor Details

    • VolatilityForecaster

      public VolatilityForecaster(int horizon)
      Parameters:
      horizon - forward window (in periods) whose realized vol is predicted

  • Method Details

    • weekly

      public static VolatilityForecaster weekly()

    • fit

      public VolatilityForecaster fit(double[] returns)
      Trains on a historical return series (needs at least ~3 months of data).

    • forecast

      public double forecast(double[] returns)
      Forecast of next-horizon-period volatility (per-period units).

    • riskScore

      public double riskScore(double[] returns)
      Intelligent risk score in [0, 100]: the percentile of the forecast within the distribution of historically realized volatilities.