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

Table 2

ARMA-GARCH model with minimum BIC.

	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, 1)
BIC	−6.6148	−6.5230	−6.5385