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2021
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Tab 7
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Research Article
Forecasting Volatility of Stock Index: Deep Learning Model with Likelihood-Based Loss Function
Table 7
ARMA-GARCH model with minimum BIC when the test set is 10%.
ā
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)