Improving GARCH using deep neural network.

[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]

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).