An autoencoder-compressed blend of twelve realized volatility measures improves one-step-ahead Realized GARCH forecasts in two of four stock markets, with mixed but competitive results.
G., Dobrev, D., and Schaumburg, E
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Financial Volatility and Risk Forecasting Incorporating a Larger Number of Realized Measures
An autoencoder-compressed blend of twelve realized volatility measures improves one-step-ahead Realized GARCH forecasts in two of four stock markets, with mixed but competitive results.