Skip to main content
Financial Innovation

Table 10 Model configuration for the best model in the entire period for classical analysis (weekly analysis)

From: A hybrid econometrics and machine learning based modeling of realized volatility of natural gas

Model

Type

MSE

RMSE

MAE

LSTM

Only

1,40E−04

1,18E−02

3,18E−03

HAR

Only

1,45E−04

1,20E−02

3,28E−03

LSTM

Combined

1,38E−04

1,17E−02

2,73E−03

HAR

Combined

1,41E−04

1,19E−02

2,73E−03

Proposed Model

Hybrid

1,37E−04

1,17E−02

2,52E−03

  1. Only: the best configuration for the whole period. Combined: the best forecasting for each day of the model. Hybrid: the best forecasting for each day of independent of the model (HAR or LSTM). In bold the best model by loss function criteria
Back to article page