---
title: Testing Whether Volatility Model Gains Persist: A Prespecified Holdout in Tail Risk Forecasting
url: https://www.ml-quant.com/papers/repec/cte-wsrepe-50798/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-02
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:cte:wsrepe:50798
source_url: https://econpapers.repec.org/RePEc:cte:wsrepe:50798
featured: 2026-10-02
citations: unknown
topic: Derivatives & Volatility
---


# Testing Whether Volatility Model Gains Persist: A Prespecified Holdout in Tail Risk Forecasting

Testing eight volatility models on equity indices with prespecified holdout periods, the research finds that gains from more complex models often do not persist across markets or time.

- Source: https://econpapers.repec.org/RePEc:cte:wsrepe:50798
- Identifier: RePEc:cte:wsrepe:50798
- Released: 2026-09-30
- First featured: Quant Letter No. 133 (2026-10-02): https://www.ml-quant.com/issues/2026-10-02/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Guo, Honfei, Marín Díazaraque, Juan Miguel, Veiga, Helena

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