基于GARCH类型参数的混合LSTM模型的波动率预测

Mingyu Liu, Jing Ye, Lijie Yu
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引用次数: 1

摘要

自风险预测的金融模型建立以来,风险市场波动率的度量得到了改进,其意义也越来越大。对于高频金融数据,投资风险程度一直是人们关注的焦点,通过模型回归得到的残差序列方差来衡量投资风险程度。将长短期记忆(LSTM)模型与多个广义自回归条件异方差(GARCH)模型相结合,建立了一种新的混合LSTM模型来预测股票价格波动。本文使用了三种GARCH模型,确定了最能拟合数据的模型。
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Volatility Prediction via Hybrid LSTM Models with GARCH Type Parameters
Since the establishment of financial models for risk prediction, the measurement of volatility at risky market has improved, and its significance has also grown. For high-frequency financial data, the degree of investment risk, which has always been the focus of attention, is measured by the variance of residual sequence obtained following model regression. By integrating the long short-term memory (LSTM) model with multiple generalized autoregressive conditional heteroscedasticity (GARCH) models, a new hybrid LSTM model is used to predict stock price volatility. In this paper, three GARCH models are used, and the model that can best fit the data is determined.
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