Stochastic Regime Switching and Long Short-Term Memory Networks: AI-Based Computational Models for Financial Market Volatility Forecasting
Keywords:
stochastic regime switching, long short-term memory networks, computational models, financial market volatility forecasting, machine learningAbstract
Understanding the causes and consequences of market volatility is of both academic and practical interest. Academic research is devoted to identifying the impact of market volatility on the investment environment, the effectiveness of policy actions, the link between the volatility of asset returns and other macroeconomic variables, the association between volatility and corporate finance, and option pricing.Readership Data
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