{"paper":{"title":"Deep Learning Forecasting of the U.S. Aggregate Bond Index","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP","q-fin.MF","q-fin.ST"],"primary_cat":"q-fin.PM","authors_text":"Ajay Kumar Verma, Jul Jon Ramirez General, Yvan Landry Ndzonde Fonkou","submitted_at":"2026-05-27T05:15:28Z","abstract_excerpt":"This study looks at the statistical properties and predictability using deep learning methods of the U.S. aggregate bond index in daily observations spanning 2018 to February 2026. We first establish that index levels are extremely persistent and consistent with unitroot behavior (Dickey and Fuller), while log returns are covariance-stationary with weak linear dependence and pronounced volatility clustering characteristic of ARCH-type processes (Engle; Bollerslev). Motivated by the trade-off between stationarity and information retention, we construct a \"stationary but maximally persistent\" re"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2605.27977","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2605.27977/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}