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LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios
In the present work, the volatility of the leading cryptocurrencies is predicted through generalised autoregressive conditional heteroskedasticity (GARCH) models, multilayer perceptron (MLP), long short-term memory (LSTM), and hybrid models of the type LSTM and GARCH, where parameters of the GARCH f...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2023
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10013303/ https://www.ncbi.nlm.nih.gov/pubmed/37362593 http://dx.doi.org/10.1007/s10614-023-10373-8 |