Recalibrating Tail Event Forecasts under Temporal Dependence
Daniel Traian Pele, Vlad Bolovăneanu, Andrei Theodor Ginavar, Stefan Lessmann, Wolfgang Karl Härdle (2026)
A scalar conformal correction that recalibrates any black-box tail quantile forecast to achieve valid finite-sample coverage under beta-mixing temporal dependence. Applied to six time-series foundation models (Chronos-Small, Chronos-Mini, TimesFM 2.5, Moirai 1.1, Moirai 2.0, Lag-Llama) and four parametric benchmarks (GJR-GARCH, GARCH-N, Historical Simulation, EWMA) across 24 financial assets at the 1% VaR level.
All 25 Quantlets live in the Quantlets/ directory with a
dedicated README covering execution order, dependencies,
and the data flow graph.
| Quantlet | Output | Description |
|---|---|---|
| CO_data_returns | cfp_ijf_data/returns/*.csv | Download 24 asset log-return series (Layer 0) |
| CO_asset_overview | Table 1 | Asset universe (24 assets, 5 classes) |
| CO_model_overview | Table 2 | Model overview (6 TSFMs + 4 benchmarks) |
| CO_cross_sectional | Table 3 | Cross-sectional correlations of conformal threshold |
| CO_full_evaluation | Table 4 | Master results (violation rates, Kupiec, Basel, QS) |
| CO_multi_quantile_panel | Tables 5, 6, 7 | Multi-quantile, panel pooled, panel by class |
| CO_quantile_scores | Table 8 | Diebold-Mariano p-values for quantile score |
| CO_garch_conformal | Table 9 | Rolling vs static conformal correction |
| CO_simulation_study | Table 10 | Monte Carlo validation (5 DGPs, 500 reps) |
| CO_bound_validation | Table 11 | Coverage bound evaluation (Theorem 3.5) |
| CO_gbm_qr | Table 12 row | GBM-QR baseline (LightGBM quantile regression) |
| CO_gamlss | Table 12 row | GAMLSS-SST baseline (skewed-t location-scale) |
| CO_baselines_evt_fhs | Table 12 rows | EVT-POT and Filtered Historical Simulation |
| CO_baseline_comparison | Table 12 | Composite recalibration method comparison |
| CO_fz_scores | Table 13 | Fissler-Ziegel joint VaR-ES scores |
| CFP_ES_Correction_Z2 | Table C.14 | ES correction and Acerbi-Szekely Z2 backtest |
| CO_robustness | Tables D.15-D.18 | Robustness: WCP, calibration fraction, Monte Carlo |
| CO_rolling_qV | Figure 1 | Rolling conformal threshold on S&P 500 |
| CO_heatmap | Figure 2 | Basel Traffic Light heatmap (10 models x 24 assets) |
| CFP_Calibration_Efficiency_Frontier | Figure 3 | Calibration-efficiency frontier |
| CO_violation_rates | Figure 4 | Raw vs corrected violation rates |
| CO_qV_ranking | Figure 5 | Conformal correction magnitude ranking (10 models) |
| CO_covid_response_lag | Figure 6 | COVID-19 response lag |
| CO_drift_diagnostic | Figure 7 | Distributional drift diagnostic (TV distance) |
| CFP_Capital_Charge | Figure 8 | Cumulative capital charge comparison |
python -m pip install -r requirements.txt
bash make.sh all # tables + figures + manuscript (~10 min)
bash make.sh mc # Monte Carlo robustness, Tables D.16-D.18 (~30 min)
bash make.sh verify # rebuild and diff against committed outputsPython >= 3.10 required. See make.sh help for all targets:
all, tables, figures, mc, manuscript, clean, verify.
Canonical data lives in cfp_ijf_data/ (returns, model forecasts, intermediate
CSVs). These are inputs to the Quantlets and are not regenerated by make.sh.
legacy/auxiliary/ contains exploratory analyses from the predecessor paper
(Pele et al. 2026, Expert Systems with Applications). These are retained for
reproducibility of that earlier work and are not part of the current manuscript.
@article{pele2026conformal,
title = {Recalibrating Tail Event Forecasts
under Temporal Dependence},
author = {Pele, Daniel Traian and Bolov{\u{a}}neanu, Vlad
and Ginavar, Andrei Theodor and Lessmann, Stefan
and H{\"a}rdle, Wolfgang Karl},
journal = {Working Paper},
year = {2026}
}MIT