Anand, Punit; Sharan, Anand Mohan - In: International Journal of Financial Studies : open … 13 (2025) 2, pp. 1-16
reduce the forecasting errors in a high-volatility regime. We show that conventional time series modeling using ARMA and ARMA … correct AR and MA orders for each window using ARMA, we achieve an MAE of 0.024 and an RMSE of 0.037. The RMSE is … of the machine learning techniques. The ARMA-GARCH model also has an MAE and an RMSE which are similar to those of ARMA. …
