Lazy Programmer Forum

Posted: **Mon Jan 23, 2023 3:05 pm**

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

Posted: **Mon Jan 23, 2023 8:41 pm**

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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Improving GARCH using deep neural network.

Improving GARCH using deep neural network.

Re: Improving GARCH using deep neural network.