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

Table 10

ARMA-GARCH model with minimum BIC when the test set is 20%.

	S&P 500	Dow Jones	NASDAQ
Best model	ARMA(1, 1)-GARCH(1, 2)	ARMA(1, 1)-GARCH (1, 2)	ARMA(1, 2)-GARCH(1, 2)