Datasets:
origin timestamp[us]date 2014-12-31 00:00:00 2026-05-12 00:00:00 ⌀ | target_date timestamp[us]date 2015-01-02 00:00:00 2026-06-11 00:00:00 ⌀ | step int64 1 21 ⌀ | model_id large_stringclasses 12
values | quantile float64 0.03 0.98 ⌀ | value float64 -18.7 5.67 ⌀ | actual float64 -14.11 4.98 ⌀ | regime stringclasses 3
values | block_id int64 2.01k 2.03k ⌀ | series large_stringclasses 2
values | arm large_stringclasses 1
value | cadence large_stringclasses 2
values |
|---|---|---|---|---|---|---|---|---|---|---|---|
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.025 | 2.04755 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.1 | 2.090837 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.2 | 2.118907 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.3 | 2.139148 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.4 | 2.156443 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.5 | 2.172608 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.6 | 2.188773 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.7 | 2.206067 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.8 | 2.226308 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.9 | 2.254378 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-02T00:00:00 | 1 | AR1 | 0.975 | 2.297665 | 2.12 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.025 | 1.998617 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.1 | 2.059741 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.2 | 2.099378 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.3 | 2.127959 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.4 | 2.152381 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.5 | 2.175207 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.6 | 2.198033 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.7 | 2.222455 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.8 | 2.251036 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.9 | 2.290673 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-05T00:00:00 | 2 | AR1 | 0.975 | 2.351797 | 2.04 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.025 | 1.961848 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.1 | 2.036597 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.2 | 2.085068 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.3 | 2.12002 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.4 | 2.149885 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.5 | 2.177799 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.6 | 2.205713 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.7 | 2.235578 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.8 | 2.27053 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.9 | 2.319002 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-06T00:00:00 | 3 | AR1 | 0.975 | 2.39375 | 1.97 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.025 | 1.931402 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.1 | 2.017583 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.2 | 2.073469 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.3 | 2.113766 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.4 | 2.148199 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.5 | 2.180383 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.6 | 2.212567 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.7 | 2.247 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.8 | 2.287297 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.9 | 2.343183 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-07T00:00:00 | 4 | AR1 | 0.975 | 2.429364 | 1.96 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.025 | 1.90501 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.1 | 2.001218 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.2 | 2.063606 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.3 | 2.108592 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.4 | 2.147031 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.5 | 2.182959 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.6 | 2.218887 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.7 | 2.257326 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.8 | 2.302312 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.9 | 2.3647 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-08T00:00:00 | 5 | AR1 | 0.975 | 2.460909 | 2.03 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.025 | 1.881508 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.1 | 1.98674 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.2 | 2.05498 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.3 | 2.104185 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.4 | 2.14623 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.5 | 2.185527 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.6 | 2.224825 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.7 | 2.26687 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.8 | 2.316075 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.9 | 2.384315 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-09T00:00:00 | 6 | AR1 | 0.975 | 2.489547 | 1.98 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.025 | 1.860204 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.1 | 1.973696 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.2 | 2.047293 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.3 | 2.100361 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.4 | 2.145705 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.5 | 2.188088 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.6 | 2.23047 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.7 | 2.275815 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.8 | 2.328883 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.9 | 2.402479 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-12T00:00:00 | 7 | AR1 | 0.975 | 2.515971 | 1.92 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.025 | 1.840646 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.1 | 1.961791 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.2 | 2.040351 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.3 | 2.096997 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.4 | 2.1454 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.5 | 2.190641 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.6 | 2.235881 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.7 | 2.284284 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.8 | 2.340931 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.9 | 2.41949 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-13T00:00:00 | 8 | AR1 | 0.975 | 2.540635 | 1.91 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.025 | 1.822518 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.1 | 1.950819 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.2 | 2.034019 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.3 | 2.094011 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.4 | 2.145273 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.5 | 2.193186 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.6 | 2.241099 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.7 | 2.29236 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.8 | 2.352353 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.9 | 2.435552 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-14T00:00:00 | 9 | AR1 | 0.975 | 2.563853 | 1.86 | normal | 2,014 | dgs10 | A | block_ys |
2014-12-31T00:00:00 | 2015-01-15T00:00:00 | 10 | AR1 | 0.025 | 1.805592 | 1.77 | normal | 2,014 | dgs10 | A | block_ys |
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forecastbench-data
Processed inputs and results for forecast_bench, a leakage-safe benchmark of classical statistical models against time-series foundation models on financial data.
Files
| File | Contents |
|---|---|
processed/spy_logrv.parquet |
SPY log realized variance (Garman-Klass, daily OHLC) plus Arm B covariates |
processed/dgs10.parquet |
10-year Treasury yield in levels plus Arm B covariates |
results/*.parquet |
Tidy long-format forecasts and metric tables, when a run has been published |
Point-in-time guarantee
Only daily, market-observed FRED series that FRED does not revise are used: DGS10,
DGS3MO, T10Y2Y, VIXCLS, DFF. Revised series such as CPIAUCSL are excluded from
every model, because FRED indexes them by reference period rather than release date, so
reading them at a forecast origin reads the future. The claim "every model saw only data
available at the time" therefore holds by construction rather than by careful bookkeeping.
Targets are never forward-filled. DGS10 carries NaN on market holidays and those rows are
dropped, because forward-filling a target manufactures an observation that never existed.
Full detail: docs/data_protocol.md.
Sources
- SPY OHLC from Yahoo Finance
- All macro and rates series from FRED (St. Louis Fed)
Redistributed here as derived research artifacts. Consult the original providers for their terms.
License
MIT, matching the source repository.
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