Incremental fine-tuning of the TimesFM foundation model improves one-day-ahead realized volatility forecasts and beats HAR, ARFIMA, CHAR, and RGARCH benchmarks on average losses across 21 global equity indices.
Barndorff-Nielsen and Neil Shephard
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Foundation Time-Series AI Model for Realized Volatility Forecasting
Incremental fine-tuning of the TimesFM foundation model improves one-day-ahead realized volatility forecasts and beats HAR, ARFIMA, CHAR, and RGARCH benchmarks on average losses across 21 global equity indices.