Deployment-Side Adaptiveness in Multi-Horizon Volatility Forecasting
Not on the map. Why?
Abstract (arXiv)
In financial forecasting, predictive performance depends not only on which model is trained, but also on how the trained model is deployed. We study this issue in multi-horizon volatility forecasting. Our starting point is that a trained multi-output (MIMO) forecaster does not define a single deployable predictor: by changing the inference-time rollout rule, the same trained model induces a family of forecasts with different accuracy and cost profiles. Across 20 stock-volatility series, three forecast horizons, and architectures ranging from linear models to PatchTST, we find that non-default rollout rules often improve over standard MIMO deployment. However, the best fixed rule varies substantially across architectures and horizons, making any single static replacement unreliable. We therefore evaluate validation-based deployment policies over the induced rule family. Under the primary MSE objective, validation-selected singletons provide a low-cost improvement over default MIMO, while small rule subsets recover much of the benefit of larger ensembles at substantially lower inference cost. We also find that policy rankings are metric-sensitive: MSE-selected policies do not transfer uniformly to QLIKE, a finance-standard volatility loss. These results show that inference-time deployment is a meaningful source of adaptiveness in financial forecasting, and that trained volatility forecasters should be evaluated not only by their architecture, but also by their deployment policy.
Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 10 of its 31 references that are in the map. First posted on arXiv 26 Jun 2026.
Builds on
10 of 31 references.
References · 10
- 2015Dropout as a Bayesian Approximation: Representing Model Uncertainty in Deep Learningcited by 4,448
- 2022A Time Series is Worth 64 Words: Long-term Forecasting with Transformerscited by 2,039
- 2019N-BEATS: Neural basis expansion analysis for interpretable time series forecastingcited by 753
- 2023A Unified Theory of Diversity in Ensemble Learningcited by 71
- 2022Forecast combinations: an over 50-year reviewcited by 34
- 2021Machine Learning for Financial Forecasting, Planning and Analysis: Recent Developments and Pitfallscited by 5
- 2024Time-Series Classification for Dynamic Strategies in Multi-Step Forecastingcited by 5
- 2025Epistemic Error Decomposition for Multi-step Time Series Forecasting: Rethinking Bias-Variance in Recursive and Direct Strategiescited by 3
- 2026Expectations vs. Realities: The Cost of MSE-Optimal Forecasting Under Conditional Uncertaintycited by 3
- 2026Exposure Bias as Epistemic Underidentification in Recursive Forecastingcited by 1
Built on by
Not cited yet.