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Question for the prediction target #4

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arrtvv852 opened this issue Nov 17, 2023 · 0 comments
Open

Question for the prediction target #4

arrtvv852 opened this issue Nov 17, 2023 · 0 comments

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@arrtvv852
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Hi, it's a great work with very detail and comprehensive analysis.
Some questions regarding to the prediction target: vol in 7 days future.
Why prediction 30 days history RV in 7 days future? Wouldn't it cause information leaking?
Have you tried predicting 7 days RV in 7 days future or 30 days RV in 30 days future?
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@arrtvv852