Tag: volatility
All the writing and notes filed under "volatility" — 1 entry.
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TempoSurfViT: Surface-Aligned, Temporally-Aware Transformers for Realized Volatility Forecasting
A masked-autoencoder-pretrained ViT that tokenizes IV surfaces along financial axes and consumes a stack of past surfaces to produce calibrated distributional forecasts of realized volatility. Evaluates whether the representation improves on HAR-RV-IV and supports a profitable variance-swap rule. Synthetic-data pipeline validation only, real OptionMetrics results pending.