A Double Deep Q-Network that classifies days as low- or high-risk is used to scale GARCH-based Value-at-Risk, reducing violations and capital requirements on daily Euro Stoxx 50 data from 2008 to 2025.
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Bridging Econometrics and AI: VaR Estimation via Reinforcement Learning and GARCH Models
A Double Deep Q-Network that classifies days as low- or high-risk is used to scale GARCH-based Value-at-Risk, reducing violations and capital requirements on daily Euro Stoxx 50 data from 2008 to 2025.