GARCH-Informed Neural Networks for Volatility Prediction in Financial Markets

arXiv:2410.00288 · q-fin.CP, cs.LG · Submitted 2024-09-30 · Read on arXiv

q-fin.CP, cs.LG

Submitted: 2024-09-30

Updated: 2024-09-30

Terminology

• Accuracy — 16× in this paper · explained in 1 episode
• Machine Learning — 11× in this paper
• Mean Absolute Error — 9× in this paper
• Heteroscedasticity — 6× in this paper · explained in 2 episodes
• Mean Squared Error — 6× in this paper
• Regularization — 5× in this paper · explained in 3 episodes
• Generalizability — 4× in this paper · explained in 6 episodes
• Loss Function — 4× in this paper · explained in 2 episodes
• Time Series Forecasting — 4× in this paper · explained in 3 episodes
• Artificial Neural Network — 3× in this paper
• GARCH-Informed Neural Network — 3× in this paper
• AdamW Optimizer — 2× in this paper · explained in 1 episode
• Calibration — 2× in this paper · explained in 7 episodes
• Deep Neural Network — 2× in this paper
• Hang Seng Index — 2× in this paper
• Information Leakage — 2× in this paper · explained in 2 episodes
• Long Short-Term Memory — 2× in this paper
• Activation Function — 1× in this paper · explained in 1 episode
• Adam — 1× in this paper · explained in 2 episodes
• Adaptability — 1× in this paper · explained in 1 episode
• Adaptivity — 1× in this paper · explained in 1 episode
• Hybrid Models — 1× in this paper · explained in 2 episodes
• Inspired by Physics-Informed Neural Networks — 1× in this paper
• Inverse Problem — 1× in this paper · explained in 2 episodes

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