Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder-LSTM Techniques

Table 1

Summary statistics for the three daily volatility indices.

	Max	Min	Mean	Std
Period 1
BPVIX	19.67	4.33	8.93	2.46
JYVIX	19.17	5.03	10.58	2.36
EUVIX	20.51	4.43	10.78	3.04
Period 2
BPVIX	29.10	5.31	12.02	4.21
JYVIX	17.54	9.60	12.80	1.70
EUVIX	19.41	4.62	9.67	1.75
Period 3
BPVIX	15.68	5.16	9.24	2.03
JYVIX	14.66	4.29	8.18	1.81
EUVIX	12.74	3.99	7.11	1.42