Should you use GARCH models for forecasting volatility? : a comparison to GRU neural networks
Alberto Pallotta and Vito Ciciretti
| Year of publication: |
2024
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|---|---|
| Authors: | Pallotta, Alberto ; Ciciretti, Vito |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 5, p. 725-738
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| Subject: | GARCH | Gated Recurrent Unit | Hidden Markov Models | Markow switching GARCH | volatility forecasting | walk-forward | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Neuronale Netze | Neural networks | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2022-0025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015437653