Forecasting volatility of crude oil futures using a GARCH-RNN hybrid approach.
Sauraj VermaPublished in: Intell. Syst. Account. Finance Manag. (2021)
Keyphrases
- crude oil
- garch model
- exchange rate
- long run
- recurrent neural networks
- financial markets
- stock market
- nearest neighbor
- stock price
- foreign exchange
- forecasting model
- multivariate time series
- financial time series
- oil field
- sar images
- short term
- heavy tailed
- hybrid model
- neural network
- feed forward
- optimal policy
- non stationary
- knn
- long term
- support vector