Susceptible Reservoir Architectures for Regime-Conditional Volatility Forecasting

Volatility forecasting is dominated by persistence and measurement noise, leaving limited residual structure for nonlinear models to exploit.

Volatility forecasting is dominated by persistence and measurement noise, leaving limited residual structure for nonlinear models to exploit. We introduce Susceptible Architectures (SUSA), a reservoir-design principle for volatility forecasting, and its two concrete…