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Implement CV Based Volatility Estimation #3

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Matgrb opened this issue Nov 12, 2020 · 1 comment
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Implement CV Based Volatility Estimation #3

Matgrb opened this issue Nov 12, 2020 · 1 comment
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enhancement New feature or request

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@Matgrb
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Matgrb commented Nov 12, 2020

The idea would be similar to TrainTestVolatility class, yet instead of repeatedly splitting data into train and test, we could use Repeated CV from sklearn and get train and test scores for each iteration.
The feature would extend BaseVolatilityEstimator. The main difference is implementation of fit() method.
@Matgrb Matgrb added the enhancement New feature or request label Nov 12, 2020
@timvink
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timvink commented Apr 19, 2021

This issue is in scope of #134

@timvink timvink closed this as completed Apr 19, 2021
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@timvink @Matgrb