Research Article
Forecasting Volatility of Stock Index: Deep Learning Model with Likelihood-Based Loss Function
Table 5
Log likelihoods of the test sample.
| ā | S&P 500 | Dow Jones | NASDAQ |
| LSTM (likelihood-based loss) | 11406.25 | 15448.84 | 6074.32 | DNN (likelihood-based loss) | 11346.34 | 15392.89 | 6062.46 | LSTM (MSE loss) | 11348.36 | 15329.30 | 6036.95 | DNN (MSE loss) | 11275.18 | 15259.39 | 5999.94 | ARMA-GARCH | 11291.16 | 15383.54 | 6012.85 | Simple | 11061.59 | 15123.93 | 5887.78 |
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