Liu, Jiayi (2023) A Hybrid Model Integrating LSTM with Multiple GARCH-Type Models for Volatility and Var Forecast. In: Proceedings of the 2nd International Conference on Big Data Economy and Digital Management, BDEDM 2023, January 6-8, 2023, Changsha, China.
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Abstract
The prediction of volatility and Value-at-Risk is a key problem in finance which can help to measure the risk, or the error sizes obtained in modelling several financial variables. In this study, I use high-frequency data to calculate the realized volatility which will be implemented as a financial
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 16:17 |
| Last Modified: | 17 Apr 2026 03:11 |
| URI: | http://eprints.eai.eu/id/eprint/43088 |
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