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Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models
Expert Systems with Applications · 2018 · Vol. 103 · pp. 25–37
Ha Young Kim✉(Ajou University)Chang Hyun Won(Ajou University)
Financial Risk and Volatility ModelingMarket Dynamics and VolatilityStock Market Forecasting MethodsAutoregressive conditional heteroskedasticityHeteroscedasticityVolatility (finance)Computer scienceEconometricsAutoregressive modelStock market indexMean squared errorArtificial neural networkStock market
Funding
- National Research Foundation of Korea
- Ministry of Education, Science and Technology
Citations
722
FWCI
78.26
field-weighted impact
References
45
Percentile
100%
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Citations per year
References
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Neural Computation · 1997 · 95,078 citations
Modeling and Forecasting Realized Volatility
Econometrica · 2003 · 3,900 citations
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