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The Ethereal
Deployment-Side Adaptiveness in Multi-Horizon Volatility Forecasting
June 26, 2026 ยท Grace Period ยท ๐ KDD 2026
Authors
Riku Green, Zahraa S. Abdallah, Telmo M Silva Filho
arXiv ID
2606.27688
Category
cs.LG: Machine Learning
Cross-listed
cs.AI
Citations
0
Venue
KDD 2026
Abstract
In financial forecasting, predictive performance depends not only on which model is trained, but also on how the trained model is deployed. We study this issue in multi-horizon volatility forecasting. Our starting point is that a trained multi-output (MIMO) forecaster does not define a single deployable predictor: by changing the inference-time rollout rule, the same trained model induces a family of forecasts with different accuracy and cost profiles. Across 20 stock-volatility series, three forecast horizons, and architectures ranging from linear models to PatchTST, we find that non-default rollout rules often improve over standard MIMO deployment. However, the best fixed rule varies substantially across architectures and horizons, making any single static replacement unreliable. We therefore evaluate validation-based deployment policies over the induced rule family. Under the primary MSE objective, validation-selected singletons provide a low-cost improvement over default MIMO, while small rule subsets recover much of the benefit of larger ensembles at substantially lower inference cost. We also find that policy rankings are metric-sensitive: MSE-selected policies do not transfer uniformly to QLIKE, a finance-standard volatility loss. These results show that inference-time deployment is a meaningful source of adaptiveness in financial forecasting, and that trained volatility forecasters should be evaluated not only by their architecture, but also by their deployment policy.
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