Candlestick Words Improve Intraday Volatility Forecasts Beyond HAR and GARCH
Encoding intraday bars as descriptive words adds 1.7 to 3.7 points of out-of-sample R² to standard volatility models after spikes but shows no edge on daily bars.
Featured in No. 136 on 23 Oct 2026 · 3 days after release
- Released
- 20 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7621579
- Authors
- Jeremia Passmore
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).