Souto, Hugo Gobato; Heuvel, Storm Koert; Neto, … - In: The Journal of finance and data science : JFDS 10 (2024), pp. 1-38
This study evaluates the effectiveness of the TSMixer neural network model in forecasting stock realized volatility, comparing it with traditional and contemporary benchmark models. Using data from S&P 100 index stocks and three other datasets containing various financial securities, extensive...