Volatility Forecasting Through Hybrid GARCHLSTM Models With WalkForward Validation and Multi-Horizon Evaluation
| Audiencia | Público en general | es_ES |
| Cobertura | México | es_ES |
| Fecha de ingreso | 2026-10-05T16:33:53Z | |
| Fecha de publicación | 2026-01-01 | |
| Resumen | This chapter, per the authors, examines volatility forecasting through a hybrid GARCH-LSTM framework designed to improve prediction accuracy under a rigorous and reproducible evaluation scheme. The purpose of this chapter is to assess whether combining the econometric structure of GARCH with the nonlinear sequence-learning capacity of LSTM enhances forecasting performance relative to a standard GARCH benchmark. The content includes the theoretical foundations of financial volatility, a review of hybrid forecasting literature, the construction of daily return-based volatility measures, the specification of the proposed model, and an empirical evaluation using S&P 500, EUR/USD, and Bitcoin data. Results from walk-forward and multi-horizon validation show that the hybrid model delivers more accurate short-term forecasts and remains competitive across different asset classes. | es_ES |
| Doi | https://doi.org/10.4018/979-8-3373-8372-9.ch010 | es_ES |
| ISBN | 979-833738374-3; 979-833738372-9 | es_ES |
| URI | https://riuat.uat.edu.mx/handle/123456789/5626 | |
| Idioma | en | es_ES |
| Editorial | IGI Global | es_ES |
| Relación | Quantitative Finance Programming: Models, Methods, and Business Applications | es_ES |
| URL relacionado | https://doi.org/10.4018/979-8-3373-8372-9.ch010 | es_ES |
| Derechos | Acceso restringido / Suscripción (Metadatos de producción científica) | es_ES |
| Licencia | http://purl.org/coar/access_right/c_16ec | es_ES |
| Fuente | Quantitative Finance Programming: Models, Methods, and Business Applications | |
| Título | Volatility Forecasting Through Hybrid GARCHLSTM Models With WalkForward Validation and Multi-Horizon Evaluation | es_ES |
| Tipo | Capítulo Libro | es_ES |
| Arbitrado | Ha sido Arbitrado | es_ES |
| Autor | Lerma-Sanchez, Angel Mario | |
| Autor | González-González, Felipe A. | |
| Autor | Torres-Mata, Joaquin | |
| Autor | Lerma-Sanchez, Angel Mario | es_ES |
| Autor | González-González, Felipe A. | es_ES |
| Autor | Torres-Mata, Joaquin | es_ES |
| Institución | Universidad Autónoma de Tamaulipas | |
| Institución | Universidad Autónoma de Tamaulipas | es_ES |
| Rango de páginas | 339-394 | es_ES |
| URL relacionada | https://doi.org/10.4018/979-8-3373-8372-9.ch010 | |
| Tipo de artículo | Indexado | |
| Tipo de artículo | Indexado | es_ES |