A mixture deep neural network GARCH model for volatility forecasting

DOI10.3934/ERA.2023194MaRDI QIDQ6153097zbMATH OpenFDO

Authors Wenhui Feng, Yuan Li, XingFa Zhang

Publication date 13 February 2024

Published in Electronic Research Archive (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

GARCH modelvolatility forecastingdeep autoregressive network

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Inference from stochastic processes (62Mxx)

Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• W-shaped implied volatility curves and the Gaussian mixture model

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