SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks

Alessio Brini and Giacomo Toscano

International Journal of Forecasting, 2025, vol. 41, issue 3, 1093-1111

Abstract: This paper introduces SpotV2Net, a multivariate intraday spot volatility forecasting model based on a graph attention network architecture. SpotV2Net represents assets as nodes within a graph and includes non-parametric high-frequency Fourier estimates of the spot volatility and co-volatility as node features. Further, it incorporates Fourier estimates of the spot volatility of volatility and co-volatility of volatility as features for node edges, to capture spillover effects. We test the forecasting accuracy of SpotV2Net in an extensive empirical exercise, conducted with the components of the Dow Jones Industrial Average index. The results we obtain suggest that SpotV2Net yields statistically significant gains in forecasting accuracy, for both single-step and multi-step forecasts, compared to a panel heterogeneous autoregressive model and alternative machine-learning models. To interpret the forecasts produced by SpotV2Net, we employ GNNExplainer (Ying et al., 2019), a model-agnostic interpretability tool, and thereby uncover subgraphs that are critical to a node’s predictions.

Keywords: Multivariate spot volatility forecasting; Graph neural networks; Graph attention networks; Spot volatility; Spot volatility of volatility; Non-parametric Fourier estimators (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111

DOI: 10.1016/j.ijforecast.2024.11.004

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