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Gobato Souto, 2023 - Google Patents

Nhits for forecasting stock realized volatility

Gobato Souto, 2023

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Document ID
14355997864197551498
Author
Gobato Souto H
Publication year
Publication venue
Available at SSRN 4650761

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Snippet

This study rigorously evaluates the NHITS model's forecasting performance against established benchmarks in realized volatility prediction. The findings of this study show that NHITS is superior to the GARCH, LSTM, and TFT models, making it a strong novel …
Continue reading at papers.ssrn.com (PDF) (other versions)

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