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Improving GARCH using deep neural network.

Posted: Mon Jan 23, 2023 3:05 pm
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

Re: Improving GARCH using deep neural network.

Posted: Mon Jan 23, 2023 8:41 pm
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).