Forecasting the realized volatility of stock price index: A hybrid model integrating CEEMDAN and LSTM

Yu Lin,Zixiao Lin,Ying Liao,Yizhuo Li,Jiali Xu,Yan Yan

Expert Systems with Applications（2022）

Cited 32|Views9

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Abstract

•Introduce the hybrid model CEEMDAN-LSTM to forecast RV of stock price index.•The MCS test is adopted as evaluation criterion of forecast performance.•Hybrid models with CEEMDAN outperform their corresponding single models.•CEEMDAN-LSTM performs the best in both emerging and developed markets.

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Key words

Volatility forecasting,Realized volatility,LSTM,CEEMDAN,MCS test

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