GARCHNet:使GARCH

Mateusz Buczynski1,2, Marcin Chlebus2

  • 1Faculty of Economic Sciences, University of Warsaw, Dluga 44/50, Warsaw, Poland.

Computational economics
|June 26, 2023
PubMed
概括

这项研究介绍了GARCHNet,这是一种新的非线性模型,将长期短期记忆 (LSTM) 神经网络与通用自回归条件异构性 (GARCH) 结合起来,以改进金融波动性建模. GARCHNet有效地捕捉复杂的非线性关系,提高风险评估的准确性.

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