Advanced search
Publication Cover
Economic Research-Ekonomska Istraživanja Volume 36, 2023 - Issue 1
Journal homepage
4,732
Views
5
CrossRef citations to date
0
Altmetric
Articles

Volatility forecasting using deep neural network with time-series feature embedding

Wei-Jie Chena School of Economics, Zhejiang University of Technology, Hangzhou, China;b Zhijiang College, Zhejiang University of Technology, Shaoxing, ChinaORCID Iconhttps://orcid.org/0000-0001-5186-0279View further author information
ORCID Icon,
Jing-Jing Yaob Zhijiang College, Zhejiang University of Technology, Shaoxing, ChinaView further author information
&
Yuan-Hai Shaoc Management School, Hainan University, Haikou, ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-1628-6133View further author information
ORCID Icon
Pages 1377-1401 | Received 17 Dec 2021, Accepted 06 Jun 2022, Published online: 22 Jun 2022

Figures & data

Figure 1. The procedure for transforming the time-series data into the encoding GAF images.

Source: The authors’ illustration.

Figure 1. The procedure for transforming the time-series data into the encoding GAF images.Source: The authors’ illustration.

Figure 2. The architecture of hybrid deep neural network model (HDNN).

Source: The authors’ illustration.

Figure 2. The architecture of hybrid deep neural network model (HDNN).Source: The authors’ illustration.

Figure 3. The procedure of time-series cross-validation on rolling windows.

Source: The authors’ illustration.

Figure 3. The procedure of time-series cross-validation on rolling windows.Source: The authors’ illustration.

Figure 4. The illustration of four types of GBM time-series datasets.

Source: The authors’ illustration.

Figure 4. The illustration of four types of GBM time-series datasets.Source: The authors’ illustration.

Table 1. The statistics of realised volatility for the four GBM time-series datasets.

Table 2. The forecasting results of each regressor on the four GBM time-series datasets, in terms of the five metrics.

Figure 5. The illustration of CSI300, SSE50, ChiNext, S&P 500, and NASDAQ datasets.

Source: The authors’ illustration.

Figure 5. The illustration of CSI300, SSE50, ChiNext, S&P 500, and NASDAQ datasets.Source: The authors’ illustration.

Figure 6. The log returns (left) and realized volatility (right) of CSI300 index in 2020.

Source: The authors’ illustration.

Figure 6. The log returns (left) and realized volatility (right) of CSI300 index in 2020.Source: The authors’ illustration.

Table 3. The statistics of realized volatility for the five Stock Index datasets.

Figure 7. The RMSE metric of regressors on the five Stock Index datasets.

Source: The authors’ illustration.

Figure 7. The RMSE metric of regressors on the five Stock Index datasets.Source: The authors’ illustration.

Figure 8. The MAD metric of regressors on the five Stock Index datasets.

Source: The authors’ illustration.

Figure 8. The MAD metric of regressors on the five Stock Index datasets.Source: The authors’ illustration.

Figure 9. The MedAD metric of regressors on the five Stock Index datasets.

Source: The authors’ illustration.

Figure 9. The MedAD metric of regressors on the five Stock Index datasets.Source: The authors’ illustration.

Figure 10. The MAPE metric of regressors on the five Stock Index datasets.

Source: The authors’ illustration.

Figure 10. The MAPE metric of regressors on the five Stock Index datasets.Source: The authors’ illustration.

Figure 11. The R2 metric of regressors on the five Stock Index datasets.

Source: The authors’ illustration.

Figure 11. The R2 metric of regressors on the five Stock Index datasets.Source: The authors’ illustration.

Table 4. Rank and statistic of the Friedman test on the CSI300 dataset.

Table 5. Rank and statistic of the Friedman test on the SSE50 dataset.

Table 6. Rank and statistic of the Friedman test on the ChiNext dataset.

Table 7. Rank and statistic of the Friedman test on the S&P 500 dataset.

Table 8. Rank and statistic of the Friedman test on the NASDAQ dataset.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.