bayesline.api.equity.IdioVolSettings

bayesline.api.equity.IdioVolSettings#

model IdioVolSettings#

Settings for idiosyncratic volatility matrix forecasts.

Fields#
Field	Type	Required	Default
`clip_lb`	`float` \| `None`	No	`-0.3`
`clip_ub`	`float` \| `None`	No	`None`
`halflife`	`float`	No	`60.0`
`nw_lags`	`int`	No	`0`
`nw_lags_halflife_override`	`float` \| `None`	No	`None`
`void_lb`	`float` \| `None`	No	`None`
`void_ub`	`float` \| `None`	No	`0.5`

field clip_lb: float | None [Optional]#: The lower bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.

field clip_ub: float | None [Optional]#: The upper bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.

field halflife: float [Optional]#: The half-life for the idiosyncratic volatility.

field nw_lags: int [Optional]#: The Newey-West lags of the idiosyncratic volatility.

field nw_lags_halflife_override: float | None [Optional]#: The Newey-West lags override for the idiosyncratic volatility for lagged returns.

field void_lb: float | None [Optional]#: The lower bound to remove the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no removal is applied. Removal of returns is applied before clipping.

field void_ub: float | None [Optional]#: The upper bound to remove the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no removal is applied. Removal of returns is applied before clipping.