From GARCH to Neural Network for Volatility Forecast

By Pengfei Zhao, Haoren Zhu, Wilfred Siu Hung NG, Dik Lun Lee

Published 2024-01-29

Everscope rating

1423.8

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: GARCH-NN. Problem types: Time Series Forecasting, Volatility Prediction.

arXiv:2402.06642 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.