Research Article
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 |
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