How royayush27/decision-focused-volatility-timing works
This repository documents a financial-engineering research project testing whether decision-focused variance estimation improves volatility-timed portfolios. The documented workflow uses Ken French daily data to build daily and monthly research datasets, then compares variance models and estimation objectives under a fixed monthly trading rule. Data preparation is represented by the notebook, but its contents were not sampled; model fitting and portfolio evaluation are described as future work, not inspected implementations.
Main entry points: Data_Collection.ipynb Data preparation · README.md Monthly timing · ff_daily_garchdata.parquet Daily returns · ff_monthly_baselinedata.parquet Monthly baseline
Components 17
Research data
- Factor archives
raw/F-F_Research_Data_5_Factors_2x3_daily_CSV.zip - Momentum archive
raw/F-F_Momentum_Factor_daily_CSV.zip - Industry archive
raw/10_Industry_Portfolios_daily_CSV.zip - Data preparation
Data_Collection.ipynb
Forecast experiment
- RV baseline
README.md - GARCH forecasts
README.md - GINN forecasts
README.md - Estimation objectives
README.md - Monthly timing
README.md - Portfolio comparison
README.md
Dataset artifacts
- Daily returns
ff_daily_garchdata.parquet - Monthly baseline
ff_monthly_baselinedata.parquet - CSV views
ff_long.csv - Merged data
ff_merged.csv - Monthly RV
monthly_returns_rv.csv
Other components
- Researcher
- Ken French data
Connections 23
- Researcher → Data preparation: prepares data
- Ken French data → Factor archives: provides data
- Ken French data → Momentum archive: provides data
- Ken French data → Industry archive: provides data
- Factor archives → Data preparation: ingests
- Momentum archive → Data preparation: ingests
- Industry archive → Data preparation: ingests
- Data preparation → Daily returns: writes daily
- Data preparation → Monthly baseline: writes monthly
- Data preparation → CSV views: exports CSV
- Data preparation → Merged data: exports CSV
- Data preparation → Monthly RV: exports RV
- Monthly baseline → RV baseline: supplies baseline
- Daily returns → GARCH forecasts: fits daily
- Daily returns → GINN forecasts: feeds forecasts
- RV baseline → Monthly timing: forecasts variance
- GARCH forecasts → Monthly timing: forecasts variance
- GINN forecasts → Monthly timing: forecasts variance
- Estimation objectives → GARCH forecasts: selects parameters
- Estimation objectives → GINN forecasts: selects parameters
- Monthly timing → Portfolio comparison: produces portfolios
- Monthly baseline → Portfolio comparison: supplies returns
- Portfolio comparison → Researcher: compares results