ENTITY Realised GARCH

Realised GARCH

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TOOL · CL_171974 · Jul 30 · 04:00

New Realised GARCH model enhances volatility forecasting with nonlinear dimension reduction

A new extension of the Realised GARCH model has been proposed to improve volatility forecasting by synthesizing information from multiple realized volatility measures. This model utilizes an autoencoder for nonlinear di…