Q19 VR study PROVEN + Q20 eigenanalysis PROVEN (EVIDENCE#034/#035)

2026-08-20 05:19:09 +00:00
parent befcc33702
commit 6145cfeb62
10 changed files with 792 additions and 4 deletions
@@ -0,0 +1,35 @@
+{
+  "panel_size": 71,
+  "date_range": "2015-01-02 to 2026-08-19",
+  "n_trading_days": 2924,
+  "horizons": {
+    "5d": {
+      "mean_vr": 0.9248,
+      "median_vr": 0.9248,
+      "frac_lt1": 0.789,
+      "frac_sig_revert_z2": 0.465,
+      "frac_sig_momentum_z2": 0.028
+    },
+    "10d": {
+      "mean_vr": 0.8925,
+      "median_vr": 0.8999,
+      "frac_lt1": 0.859,
+      "frac_sig_revert_z2": 0.423,
+      "frac_sig_momentum_z2": 0.014
+    },
+    "20d": {
+      "mean_vr": 0.8733,
+      "median_vr": 0.8838,
+      "frac_lt1": 0.845,
+      "frac_sig_revert_z2": 0.366,
+      "frac_sig_momentum_z2": 0.014
+    }
+  },
+  "trend_slope_5_beta": {
+    "mean": 3.7952,
+    "se": 0.016,
+    "t_stat": 237.3,
+    "n_negative": 0,
+    "n_total": 71
+  }
+}