Data2&code.
Published in Figshare • Oct 18, 2024
Authors:,,
Gongtao Zhang (7196045)
Huanyu Zhao (519561)
Rujie Fan (16455648)
Abstract
<div><p>The realized recurrent conditional heteroscedasticity (RealRECH) model improves volatility prediction by integrating long short-term memory (LSTM), a recurrent neural network unit, into the realized generalized autoregressive conditional heteroskedasticity (RealGARCH) model. However, at pres...
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