Forecasting Volatility of Stock Index: Deep Learning Model with Likelihood-Based Loss Function

Table 1

Descriptive statistics of daily returns of stock indices.

	S&P 500	Dow Jones	NASDAQ
Mean	0.022%	0.021%	0.037%
Maximum	15.36%	14.27%	13.25%
Minimum	−22.90%	−25.63%	−13.15%
Std. dev.	1.19%	1.16%	1.25%
Skewness	−0.47	−0.86	−0.38
Kurtosis	22.12	27.72	13.57
Jarque–Bera test	0.00	0.00	0.00
Observations	23239	31095	12456