A GARCH Model with Artificial Neural Networks
In this paper, we incorporate a GARCH model into an artificial neural network (ANN) for financial volatility modeling and estimate the parameters in Tensorflow. Our goal was to better predict stock volatility. We evaluate the performance of the models using the mean absolute errors of powers of the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-10-01
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| Series: | Information |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2078-2489/11/10/489 |