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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