Nkrumah, Kingsley: Multi-Scale Stress Accumulation as a Predictor of Elevated Volatility Across Financial Markets

We introduce a multi-scale stress accumulation framework for identifying regimes of elevated future volatility in financial time series. The model constructs a binary stress signal based on extreme return events and aggregates it using exponential weighting across fast, intermediate, and slow temporal scales. To ensure adaptability across changing market conditions, stress regimes are defined using rolling quantile-based thresholds. We evaluate the relationship between stress regimes and future