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9 days ago
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Add Deribit DVOL to the live price range as a fourth HAR input
scripts/backtest_range_dvol.py: with implied hourly variance (DVOL/100)^2 / 8760 in the log-HAR regression, the interval score improved 0.3/0.2/0.4/0.7% at 1/6/24/72h (significant at 1, 24 and 72h) and the 50% range narrowed about 6%, with coverage slightly below nominal (48/79/95%). DVOL takes the largest weight in the fit (0.67-0.71). The fit now produces two HAR sets, with and without DVOL, each with its own quantiles; forecasts use the DVOL set when the frame carries DVOL and the plain set otherwise, and report which (volatility_inputs). The quarterly refit downloads two years of DVOL with the candles. The raw index rides on the volatility frame as "dvol", excluded from model features. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>49e3cc7