Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder-LSTM Techniques

Table 6

Five error measures for each model in the EUVIX.

	MSE	RMSE	MAE	MPE (%)	MAPE (%)
Period 1
LSTM	0.4104	0.6406	0.4893	2.5107	4.0954
Autoencoder-LSTM	0.2874	0.5361	0.3974	−0.2569	3.3006
Period 2
LSTM	4.5074	2.1231	1.4746	3.8257	19.3755
Autoencoder-LSTM	3.8284	1.9566	1.4937	−6.4252	18.0702
Period 3
LSTM	1.5205	1.2331	0.4530	0.5383	7.8089
Autoencoder-LSTM	1.3250	1.1511	0.5018	−1.9384	8.7721