LSTM networks with skewed Student's t distributions can produce distributional forecasts of equity returns that are competitive with GARCH for Value-at-Risk, though calibration failures and selective reporting temper the result.
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Forecasting Probability Distributions of Financial Returns with Deep Neural Networks
LSTM networks with skewed Student's t distributions can produce distributional forecasts of equity returns that are competitive with GARCH for Value-at-Risk, though calibration failures and selective reporting temper the result.