Volatility forecasting using deep recurrent neural networks as GARCH models

DOI10.1007/S00180-023-01349-1MaRDI QIDQ6954889zbMATH OpenFDO

Authors Gustavo Di Giorgi, Rodrigo Salas, Rodrigo Avaria, Cristian Ubal, Harvey Rosas, Romina Torres

Publication date 23 July 2025

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00180-023-01349-1

zbMATH Keywords

BiLSTMdeep learningGRULSTMstochastic volatilitystock options return

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites work

• Artificial neural networks in time series forecasting: a comparative analysis.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• Hilbert-Huang transform and its applications.
• MICAI 2004: Advances in Artificial Intelligence
• Modelling the persistence of conditional variances
• Properties of moments of a family of GARCH processes
• Threshold heteroskedastic models

Cited in

(1)

• Editorial on the special issue on the V Latin American conference on statistical computing

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