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

Table 6

Length of the train set and test set in trading days under different train-test sample splits.

	S&P 500		Dow Jones		NASDAQ
	Train	Test	Train	Test	Train	Test
Test 10%	20917	2322	27987	3108	11212	1244
Test 15%	19755	3484	26433	4662	10590	1866
Test 20%	18594	4645	24878	6217	9967	2489