Accurate tail risk forecasting in emerging markets is frequently compromised by the nonlinear dynamics and time-varying long memory of high-frequency volatility. In this study, we employ multifractal detrended fluctuation analysis (MF-DFA) to decode the complex market behavior, revealing pronounced multifractality and strong persistence that defy the static assumptions of classical linear models. The multifractal analysis is only used for research motivation and model design, not as input features for the model. To bridge the gap between fractal diagnostics and predictive modeling, we propose an attention-based dynamically reweighted SA-HAR-J-Net framework. This architecture uniquely integrates HAR-style multi-horizon inputs with a bidirectional LSTM (BiLSTM) encoder and a temporal self-attention mechanism. Crucially, the attention module functions as a dynamic reweighting system, allowing the model to adaptively emphasize historical patterns that receive higher attention weights under changing market conditions, thereby mimicking the time-varying correlations inherent in multifractal processes. Furthermore, we incorporate jump proxies and realized higher moments to enhance the capture of extreme tail dynamics. Utilizing a strict expanding-window out-of-sample protocol, the proposed method achieves significantly lower quantile loss and superior calibration relative to established econometric and machine learning benchmarks for Value-at-Risk (VaR) forecasting. This work provides a robust framework for tail risk monitoring by effectively aligning deep learning architectures with the stylized facts of multifractal markets.
Zhang et al. (2026) studied this question.