step1_OOSgenerator.m

% Rolling forward 1 step ahead (OOS) prediction generator for the
% securities listed in variable "tickerlist"
% Study period defined in "oos_period_range"
% OOS forecast for each model is generated after training each model
% The pool consists of 325 volatility models.
% Script last revised 30 Oct 2022
% @author: Arman Hassanniakalager GitHub: https://github.com/hkalager
% Common disclaimers apply. Subject to change at all time.

%% Enviroment setting
% Basics
clear;clc;close all;
drpadd=pwd;
if ispc()
    addpath([drpadd,'\univariate']);
    addpath([drpadd,'\multivariate']);
    addpath([drpadd,'\distributions']);
    addpath([drpadd,'\utility']);
    addpath([drpadd,'\timeseries']);
    addpath([drpadd,'\Dataset_ETFS']);
    % Report to Dropbox
    fid=fopen([drpadd,'\VolatilityReport.txt'],'w');
else
    addpath([drpadd,'/univariate']);
    addpath([drpadd,'/multivariate']);
    addpath([drpadd,'/distributions']);
    addpath([drpadd,'/utility']);
    addpath([drpadd,'/timeseries']);
    addpath([drpadd,'/Dataset_ETFS']);
    % Report to Dropbox
    fid=fopen([drpadd,'/VolatilityReport.txt'],'w');
end

txt=['Pool generation started on ',date,' ',num2str(hour(now)),':',num2str(minute(now)),'\n'];
fprintf(fid,txt);
%% Parallel options
delete(gcp('nocreate'))
poolobj=parpool('local',feature('numcores'));
%% Specification of underlying assets
% Series
tickerlist={'SPY','QQQ','GLD','USO'};
oos_period_range=2014:2020;

%% Loops
for freq=[30,15,5] %minutes
    for IS_per=[91,182,252] % number of days for training
        for t=1:numel(tickerlist)
            flname=[tickerlist{t},'_M',num2str(freq),'_processed.csv'];
            tbl0=readtable(flname);
            %tbl0{:,'Weekday'}=weekday(tbl0.Date)-1;
            TF1SMP = find(year(tbl0.Date)==oos_period_range(1),1,'first');
            TF2SMP = find(year(tbl0.Date)==oos_period_range(end),1,'last');
            num_per=TF2SMP-TF1SMP;
            oos_ser=nan(num_per+1,325);
            parfor s=0:num_per
                tic;
                disp(['Iteration ', num2str(s+1),' ...']);
                startIS=TF1SMP+s-IS_per;
                finishIS=TF1SMP+s-1;
                tbl1=tbl0(max(startIS,1):finishIS,:);
                [predicted,IS_ht]=volpool(tbl1);
                %[predicted,IS_ht]=garchpool(tbl1);
                oos_ser(s+1,:)=predicted;
                %recorded_results{s+1,1}=IS_ht;
                toc;
            end
            oosdate=tbl0.Date(TF1SMP:TF2SMP);
            save([tickerlist{t},'_Pool_M',num2str(freq),...
                '_OOS_',num2str(oos_period_range(1)),'_',...
                num2str(oos_period_range(end)),'_',num2str(IS_per)]);
            
            txt=['\nPool created successfully for ',tickerlist{t},' on ', date,' ',num2str(hour(now)),':',num2str(minute(now)),'\n'];
            fprintf(fid,txt);
        end
    end
end
fclose(fid);
record_mdlspec;
delete(poolobj);