CBOE Volatility Index Forecasting under COVID-19: An Integrated BiLSTM-ARIMA-GARCH Model

IF 2.2 4区计算机科学 Q2 Computer Science

Computer Systems Science and Engineering Pub Date : 2023-01-01 DOI:10.32604/csse.2023.033247

Min Hyung Park, Dongyan Nan, Yerin Kim, Jang-Hyun Kim

引用次数: 0

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基于BiLSTM-ARIMA-GARCH模型的2019冠状病毒病疫情下CBOE波动率指数预测

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Computer Systems Science and Engineering 工程技术-计算机：理论方法

CiteScore

3.10

自引率

13.60%

发文量

308

审稿时长

>12 weeks

期刊介绍： The journal is devoted to the publication of high quality papers on theoretical developments in computer systems science, and their applications in computer systems engineering. Original research papers, state-of-the-art reviews and technical notes are invited for publication. All papers will be refereed by acknowledged experts in the field, and may be (i) accepted without change, (ii) require amendment and subsequent re-refereeing, or (iii) be rejected on the grounds of either relevance or content. The submission of a paper implies that, if accepted for publication, it will not be published elsewhere in the same form, in any language, without the prior consent of the Publisher.