1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2022
A machine learning search for optimal GARCH parameters
Luke De Clerk, Sergey Savl'ev
Here, we use Machine Learning (ML) algorithms to update and improve the efficiencies of fitting GARCH model parameters to empirical data. We employ an Artificial Neural Network (AN…
econ.EM2021★ 1 cited
Non-stationary GARCH modelling for fitting higher order moments of financial series within moving time windows
Luke De Clerk, Sergey Savel'ev
Here, we have analysed a GARCH(1,1) model with the aim to fit higher order moments for different companies' stock prices. When we assume a gaussian conditional distribution, we fai…