VolatilityRegimes: Reproducible Macro-Finance

Empirical finance is plagued by irreproducible results. This project built a fully reproducible macro-finance research pipeline driven by a single declarative registry covering sources like FRED, Yahoo Finance, and the Kenneth French library.

Finding and Failing

Using this pipeline, I estimated a latent uncertainty factor that held up robustly across out-of-sample splits. However, the consumption pricing kernel decisively did not: it failed the Hansen-Jagannathan bound (0.275 against 0.419 required, Hansen J $p = 2.7 \times 10^{-10}$), reproducing the equity-premium puzzle.

Instead of quietly tuning the parameters to “fix” the failure, I reported the outright rejection—alongside a placebo test that invalidated my own regime-validation claim.

Engineering Against Silent Failures

The infrastructure handles the hidden traps that quietly invalidate empirical work:

• Data revisions and point-in-time correctness (preventing look-ahead bias).
• Mixed reporting frequencies.
• Missing-data gaps.
• Automatic non-stationarity screening.
• Quarantine procedures for series failing quality checks.

To guarantee absolute reproducibility, finished panels are content-hashed (SHA-256). Any later run can be instantly verified against the published hash to ensure no silent data drift has occurred.