GARCH-Informed LSTM Model for Volatility Forecasting


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Documentation for package ‘GARCHInfoLSTM’ version 0.1.0

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AccuracyGINN Out-of-Sample Accuracy for GINN Volatility Forecasts
GINN GARCH-Informed Neural Network (GINN) - Volatility Forecasting
plotGINN Plot GINN Volatility: Actual vs Predicted + Forecast
plotlambda Plot Training RMSE Across Lambda Values (GINN)
predictGINN Forecast Conditional Variance h Steps Ahead from GINN