Improving GARCH using deep neural network.

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Stanislav
Posts: 1
Joined: Mon Jan 23, 2023 2:27 pm

Improving GARCH using deep neural network.

Post by Stanislav »

Hello. Would like to get any other materials (examples, links, lectures etc.) about improving GARCH via deep neural network that you said you have. Thank you in advance.



Sincerely,

Stanislav
lazyprogrammer
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Posts: 105
Joined: Sat Jul 28, 2018 3:46 am

Re: Improving GARCH using deep neural network.

Post by lazyprogrammer »

Thanks for your inquiry.

This is related to one of the VIP projects in the PyTorch course. We use a neural network for uncertainty estimation (uncertainty being the variance, hence exactly what GARCH is doing).
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