Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models

Ha Young Kim, Chang Hyun Won

Abstract: Highlights•A new hybrid method to integrate deep neural networks with multiple financial time series models is proposed.•Combines the LSTM model with various generalized autoregressive conditional heteroskedasticity (GARCH)-type models.•Compared performance of the proposed hybrid LSTM models with that of existing methodologies.