{"title":"风险价值和波动率多步预测的共享动态神经网络","authors":"N. Basturk, P. Schotman, Hugo Schyns","doi":"10.2139/ssrn.3871096","DOIUrl":null,"url":null,"abstract":"We develop a LSTM neural network for the joint prediction of volatility, realized volatility and Value-at-Risk. Regularization by means of pooling the dynamic structure for the different outputs of the models is shown to be a powerful method for improving forecasts and smoothing VaR estimates. The method is applied to daily and high-frequency returns of the S&P500 index over a period of 25 years.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"202 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Neural Network with Shared Dynamics for Multi-Step Prediction of Value-at-Risk and Volatility\",\"authors\":\"N. Basturk, P. Schotman, Hugo Schyns\",\"doi\":\"10.2139/ssrn.3871096\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We develop a LSTM neural network for the joint prediction of volatility, realized volatility and Value-at-Risk. Regularization by means of pooling the dynamic structure for the different outputs of the models is shown to be a powerful method for improving forecasts and smoothing VaR estimates. The method is applied to daily and high-frequency returns of the S&P500 index over a period of 25 years.\",\"PeriodicalId\":306152,\"journal\":{\"name\":\"Risk Management eJournal\",\"volume\":\"202 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-06-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risk Management eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3871096\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk Management eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3871096","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Neural Network with Shared Dynamics for Multi-Step Prediction of Value-at-Risk and Volatility
We develop a LSTM neural network for the joint prediction of volatility, realized volatility and Value-at-Risk. Regularization by means of pooling the dynamic structure for the different outputs of the models is shown to be a powerful method for improving forecasts and smoothing VaR estimates. The method is applied to daily and high-frequency returns of the S&P500 index over a period of 25 years.
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