Finding 7766Emerging EvidenceValidation V0
Under $P$, MLE on SPX returns beats diagonal QARCH, ZHawkes, quadratic rough Heston, EWMA Heston by likelihood and AIC; a 3-factor variant (trend plus two memories) simpler and wins out-of-sample.
86%Confidence
1Evidence objects
v1Version
DraftStatus
Evidence trail
Supporting86% linkage confidence
Under $P$, MLE on SPX returns beats diagonal QARCH, ZHawkes, quadratic rough Heston, EWMA Heston by likelihood and AIC; a 3-factor variant (trend plus two memories) simpler and wins out-of-sample.
key_findings bullet 2 · key_findings
Inspect source: The Discrete-Time 4-Factor Path-Dependent Volatility Model: Calibration under P and Q →This Finding was extracted from the configured corpus. It is versioned, traceable, and may evolve through editorial review or new corpus evidence.