Prévision de volatilité HAR-RV

RAID: A Metal-Accelerated C++ Framework for Reproducible High-Frequency Financial Econometrics

Batched, Fused and Streaming Estimation on Apple Silicon without Sacrificing Inference

Simon-Pierre Boucher · Cahiers de recherche UQO · novembre 2026 · v1.0

We ask whether heterogeneous high-frequency econometric workloads—realized measures, rolling and batched regressions, HAR forecasting models, GARCH-family quasi-maximum likelihood, block bootstrap inference—can be reorganised into batched, fused, streaming computation on Apple Silicon GPUs without sacrificing…

Forecasting Realized Volatility Across Asset Classes: HAR, GARCH, and Machine Learning in a Unified Multi-Asset Horse Race, 2013–2026

Simon-Pierre Boucher · Cahiers de recherche UQO · octobre 2026 · v0.2

The paper compares 27 forecasts of daily realized variance (six HAR specifications, GARCH, GJR, EGARCH and Realized GARCH, penalized regressions, random forests, XGBoost and LightGBM on two information sets, an LSTM, a Transformer, a LightGBM pooled across assets, and two combinations) on 25 liquid instruments from…

The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction: Evidence from 3.8 Billion Option Contracts

Simon-Pierre Boucher · Cahiers de recherche UQO · octobre 2026 · v1.2

This paper measures the information content of the implied volatility surface for returns and realized variance in a panel of 69 liquid US underlyings (49 large stocks, 17 ETFs and three equity indices) over 2010–2025, built from 3.83 billion end-of-day option records and 5-minute prices. Option-implied features…