MSc Economics thesis · Revised 14 October 2026
Volatility Regime Filtering in Futures Markets
Can volatility regimes improve the context in which an intraday futures strategy operates?
EGARCH / Student-t / Ablation / Walk-forward
- Approach
- Daily EGARCH conditioning, long-only intraday breakouts, ablation, bootstrap, and walk-forward analysis of a participation gate and exposure-scaling bundle.
- Evidence and revision
- Retrospective development comparisons; the gate and scaling effects are not separately identified. Timing, provenance and execution accounting remain limits on the reported backtests.
- Connection to current work
- This work led to a sharper distinction between forecasting risk and demonstrating that a trading policy benefits from the forecast.
- Continue reading
- Related BTC risk research ↗