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Forecasting and modelling the VIX using Neural Networks
This study investigates the volatility forecasting ability of neural network models. In particular, we focus on the performance of Multi-layer Perceptron (MLP) and the Long Short Term (LSTM) Neural Networks in predicting the CBOE Volatility Index (VIX). The inputs into these models includes the VIX,...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2023
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