Volatility forecasting using deep recurrent neural networks as GARCH models - Di-Giorgi, Gustavo; Salas, Rodrigo; Avaria, Rodrigo; Ubal, Cristian; Rosas, Harvey; Torres, Romina (Computational statistics, 2025)
Keywords: Artificial neural networks; Autoregressive models; Econometrics; Expected values; Methodology; Monte Carlo simulation; Neural networks; Prices; Recurrent neural networks; Stochastic models; Stock exchanges; Time series; Volatility