A regime-conditional audit reveals that volatility forecasts with comparable aggregate accuracy hide substantial state-dependent bias and tail underprediction.
Multicalibration: Calibration for the (Computationally- identifiable) masses,
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Latent-Regime Bias Auditing for Volatility Forecasting
A regime-conditional audit reveals that volatility forecasts with comparable aggregate accuracy hide substantial state-dependent bias and tail underprediction.