memory. We employed LSTM (long short-term memory) recurrent neural networks and an XGBoost regressor on the data using those …

ability of GARCH- and RNN-based LSTM models using India VIX out of sample data. The results indicated that the NIFTY 50 index … (1, 1). The results also showed that overall GARCH models are slightly better than RNN-based LSTM models in forecasting … the volatility of the NIFTY 50 index. Both types of models (GARCH models and RNN based LSTM models) fared equally well in …