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Financial Innovation

Table 11 Model configuration for the best model in the entire period for classical analysis (monthly analysis)

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

Model

Type

MSE

RMSE

MAE

LSTM

Only

6,14E−04

2,48E−02

9,54E−03

HAR

Only

6,28E−04

2,51E−02

9,87E−03

LSTM

Combined

6,05E−04

2,46E−02

8,95E−03

HAR

Combined

6,17E−04

2,48E−02

8,86E−03

Proposed Model

Hybrid

6,04E−04

2,46E−02

8,61E−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
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