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Published at November 26

Autoencoder Enhanced Realised GARCH on Volatility Forecasting

q-fin.RM

cs.LG

econ.EM

Released Date: November 26, 2024

Authors: Qianli Zhao¹, Chao Wang¹, Richard Gerlach¹, Giuseppe Storti¹, Lingxiang Zhang¹

Aff.: ¹Not specified

Arxiv: http://arxiv.org/abs/2411.17136v1

Refer to caption

	Mean	Std.Dev	Median	Min	Max	Skewness	Kurtosis
$r_{t}$	0.000	1.242	0.044	-12.687	10.625	-0.393	10.120
$\log(\text{RV5})$	-0.679	1.146	-0.744	-4.408	4.350	0.356	0.339
$\log(\text{RV10})$	-0.691	1.172	-0.747	-4.344	4.355	0.329	0.303
$\log(\text{RSV})$	-1.480	1.246	-1.543	-6.101	3.563	0.302	0.202
$\log(\text{MedRV})$	-1.594	1.224	-1.676	-6.753	3.363	0.350	0.268
$\log(\text{SSRV5})$	-0.679	1.146	-0.744	-4.408	4.350	0.356	0.339
$\log(\text{SSRV10})$	-0.691	1.172	-0.747	-4.344	4.355	0.329	0.303
$\log(\text{SSRSV})$	-1.480	1.246	-1.543	-6.101	3.563	0.302	0.202
$\log(\text{TSRK})$	-0.795	1.108	-0.870	-4.135	4.422	0.412	0.390
$\log(\text{PRK})$	-0.798	1.220	-0.839	-4.711	3.933	0.266	0.207
$\log(\text{TRK})$	-0.786	1.115	-0.861	-4.113	4.444	0.406	0.347
$\log(\text{BV})$	-0.876	1.138	-0.951	-4.551	4.097	0.414	0.384
$\log(\text{SSBV})$	-0.876	1.138	-0.951	-4.551	4.097	0.414	0.384