ML-QuantSubscribe

SSRNDerivatives & Volatility

SP 500 Volatility Forecasting

The research investigates four techniques to enhance the precision of volatility forecasts for the SP 500, including the GARCH model, an LSTM network, a hybrid LSTM-GARCH model, and an advanced hybrid model incorporating the VIX index.

Featured in No. 58 on 24 Jul 2024 · 1 day after release

Released
23 Jul 2024
First featured
No. 58 · 24 Jul 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4903194

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

    Type to search. Try rough volatility, LLM agents or FinGPT.

    ↑↓ move↵ openesc closeFull search page