LSTM-BEKK extends the Scalar BEKK model with an LSTM-driven dynamic covariance component and reports lower out-of-sample negative log-likelihood and minimum-variance portfolio volatility on US, UK, and Japanese equity data.
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Deep Learning Enhanced Multivariate GARCH
LSTM-BEKK extends the Scalar BEKK model with an LSTM-driven dynamic covariance component and reports lower out-of-sample negative log-likelihood and minimum-variance portfolio volatility on US, UK, and Japanese equity data.