Unforseen

Not sure what you mean by JP Morgan rule, but the two estimators from CFAI differ in the following way (quote from memory, so may be slightly wrong).

1. Shrinkage estimators: adjust/moderate forecast using historical data with data from another model/forecast (e.g., multi-factor model).

2. Time series estimators: adjust forecast using historical data by adding more weight to near-term volatility because of volatility clustering, particular with high frequencies (daily, weekly) at some markets.


Is this what you mean?