bayesline.api.equity.IdioVolSettings

pydantic model bayesline.api.equity.IdioVolSettings

Settings for idiosyncratic volatility matrix forecasts.

Show JSON schema

{
   "title": "IdioVolSettings",
   "description": "Settings for idiosyncratic volatility matrix forecasts.",
   "type": "object",
   "properties": {
      "halflife": {
         "default": 60.0,
         "description": "The half-life for the idiosyncratic volatility.",
         "title": "Halflife",
         "type": "number"
      },
      "nw_lags": {
         "default": 0,
         "description": "The Newey-West lags of the idiosyncratic volatility.",
         "title": "Nw Lags",
         "type": "integer"
      },
      "nw_lags_halflife_override": {
         "anyOf": [
            {
               "type": "number"
            },
            {
               "type": "null"
            }
         ],
         "default": null,
         "description": "The Newey-West lags override for the idiosyncratic volatility for lagged returns.",
         "title": "Nw Lags Halflife Override"
      },
      "clip_lb": {
         "anyOf": [
            {
               "type": "number"
            },
            {
               "type": "null"
            }
         ],
         "default": -0.3,
         "description": "The lower bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.",
         "title": "Clip Lb"
      },
      "clip_ub": {
         "anyOf": [
            {
               "type": "number"
            },
            {
               "type": "null"
            }
         ],
         "default": null,
         "description": "The upper bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.",
         "title": "Clip Ub"
      },
      "void_lb": {
         "anyOf": [
            {
               "type": "number"
            },
            {
               "type": "null"
            }
         ],
         "default": null,
         "description": "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.",
         "title": "Void Lb"
      },
      "void_ub": {
         "anyOf": [
            {
               "type": "number"
            },
            {
               "type": "null"
            }
         ],
         "default": 0.5,
         "description": "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.",
         "title": "Void Ub"
      }
   },
   "additionalProperties": false
}

Config:

• frozen: bool = True

• extra: str = forbid

Fields:

• clip_lb (float | None)

• clip_ub (float | None)

• halflife (float)

• nw_lags (int)

• nw_lags_halflife_override (float | None)

• void_lb (float | None)

• void_ub (float | None)

field halflife: float = 60.0

The half-life for the idiosyncratic volatility.

field nw_lags: int = 0

The Newey-West lags of the idiosyncratic volatility.

field nw_lags_halflife_override: float | None = None

The Newey-West lags override for the idiosyncratic volatility for lagged returns.

field clip_lb: float | None = -0.3

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 = None

The upper bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.

field void_lb: float | None = None

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 = 0.5

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.