Pooled ['BTC', 'ETH', 'SOL', 'XRP', 'LINK', 'AVAX', 'DOGE', 'ADA'] | log RV target | IS < 2025-01-01 <= OOS | OLS fit on IS, R² evaluated on OOS
| target | features | IS R² | OOS R² | OOS n |
|---|---|---|---|---|
| y1 | HAR | +0.484 | +0.340 | 5000 |
| y1 | HAR+flow | +0.564 | +0.396 | 4854 |
| y1 | flow only | +0.187 | +0.065 | 4854 |
| y5 | HAR | +0.449 | +0.345 | 4968 |
| y5 | HAR+flow | +0.549 | +0.403 | 4854 |
| y5 | flow only | +0.167 | -0.001 | 4854 |
Leave-one-out (drop each flow feature from HAR+flow)
| target | dropped | OOS R² | Δ vs HAR+flow |
|---|---|---|---|
| y1 | oi_chg | +0.395 | +0.0007 |
| y1 | taker | +0.379 | +0.0171 |
| y1 | depth | +0.397 | -0.0012 |
| y1 | prem | +0.387 | +0.0094 |
| y5 | oi_chg | +0.400 | +0.0028 |
| y5 | taker | +0.399 | +0.0032 |
| y5 | depth | +0.401 | +0.0019 |
| y5 | prem | +0.403 | -0.0001 |
target y1 = next-day log realized vol; y5 = next-5-day. HAR = own trailing RV1/5/22. HAR+flow adds OI-change, taker-flow, depth-imbalance, premium z-scores. If HAR+flow OOS R² does not beat HAR, flow carries no vol information.