{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,17]],"date-time":"2026-10-17T09:40:19Z","timestamp":1792230019192,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We ask whether the empirical evidence for rough volatility from daily spot returns is statistically identifying. Using the deterministic Wiener-chaos likelihood of Javaheri (2026) together with the (trivially) deterministic likelihood of the Guyon-Lekeufack 4-factor Markovian path-dependent volatility model, we run two conceptually distinct experiments on a common footing. First, a Vuong non-nested model-selection test confirms that when either model is the true data-generating process, the likelihood machinery correctly identifies it: in our simulation study 125 of 125 paths were correctly classified (75 of 75 under rBergomi truth and 50 of 50 under 4FMPDV truth). Second, and separately, we apply the rBergomi likelihood to synthetic data from the Guyon-Lekeufack SPX-calibrated smooth-Markovian process: it returns a median H = 0.115, essentially matching the empirical SPX value and below what Guyon and Lekeufack themselves report from the scaling estimator. The two results speak to different statistical questions. The first is a model-selection statement; the second is an identifiability statement. It is the identifiability result, rather than the modelselection result, that bears on the interpretation of the empirical literature, which reports H as evidence for fractional memory. Rough volatility remains a viable modeling choice-and separate theoretical arguments from option-market arbitrage give strong grounds to believe it holds-but the statistical evidence from daily SPX returns alone is less identifying than empirical estimates of H alone might suggest.<\/jats:p>","DOI":"10.2139\/ssrn.7620583","type":"posted-content","created":{"date-parts":[[2026,10,17]],"date-time":"2026-10-17T08:40:07Z","timestamp":1792226407000},"source":"Crossref","is-referenced-by-count":0,"title":["Is Rough Volatility Identifiable from Spot Returns?"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0002-7758-5062","authenticated-orcid":true,"given":"Alireza","family":"Javaheri","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,17]],"date-time":"2026-10-17T08:40:07Z","timestamp":1792226407000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7620583"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7620583","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}