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

Table 9

Log likelihoods of the test sample when the test set is 10%.

	S&P 500	Dow Jones	NASDAQ
LSTM (likelihood-based loss)	7901.28	10255.62	3973.68
DNN (likelihood-based loss)	7888.22	10198.73	3963.67
LSTM (MSE loss)	7873.73	10156.86	3942.13
DNN (MSE loss)	7828.06	10089.74	3914.47
ARMA-GARCH	7812.65	10187.24	3923.81
Simple	7631.45	9958.84	3802.13