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 … TSMixer outperforms benchmark models in predicting individual stock volatility when applied to datasets with a large number of … commodities, where models like NBEATSx and NHITS often perform better. This indicates that TSMixer's performance is context …