Research Article
Advantages of Combining Factorization Machine with Elman Neural Network for Volatility Forecasting of Stock Market
Table 5
Forecasting errors of the FM-Elman model when
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| Dimension | S&P 500 | DJIA | MAE | MAPE | RMSE | MAE | MAPE | RMSE |
| | 40.3236 | 3.8834 | 46.6309 | 263.665 | 2.7759 | 335.7891 | | 43.5088 | 4.1692 | 49.7034 | 280.9011 | 2.9379 | 348.8277 | | 39.5023 | 3.8293 | 46.4366 | 254.584 | 2.6649 | 321.9889 | | 39.041 | 3.7597 | 45.4894 | 227.0823 | 2.3703 | 290.28 | Dimension | SSEC | SZI | MAE | MAPE | RMSE | MAE | MAPE | RMSE | | 47.0132 | 1.6545 | 68.2408 | 222.8488 | 2.032 | 293.7208 | | 50.4433 | 1.8008 | 69.7871 | 228.2216 | 2.0552 | 298.6005 | | 50.8593 | 1.8233 | 70.5519 | 241.7771 | 2.1825 | 317.8106 | | 48.4128 | 1.7097 | 68.4333 | 240.4362 | 2.1684 | 316.2495 |
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