RT Journal Article SR Electronic T1 Toward Regime-Aware Risk Forecasts JF The Journal of Portfolio Management FD Institutional Investor Journals SP 49 OP 70 DO 10.3905/jpm.2022.48.5.049 VO 48 IS 5 A1 Kevin Khang YR 2022 UL https://pm-research.com/content/48/5/49.abstract AB Estimation lookback window is a key calibration parameter in industry-standard risk models. It determines how readily the model incorporates new data to form volatility forecasts. Most volatility environments can be characterized as either slow-moving or fast-moving, and no single calibration generates consistently reliable forecasts. A model’s strength in one environment is often the reason it is ill-suited for other environments. The potential impact of using a suboptimal model can be measured in real time with a cross-sectional dispersion of forecasts from different calibrations. This information can be used to inform timely, and disciplined, transitions between slow-moving and fast-moving models—the makings of regime-aware volatility forecasting.