Table 8 Model configuration for the best model in the entire period for classical analysis
From: A hybrid econometrics and machine learning based modeling of realized volatility of natural gas
Ranking | Model | Financial assets | NoL | NpL | WS | MSE | RMSE | MAE |
|---|---|---|---|---|---|---|---|---|
1 | LSTM | BRENT-SPX | 1 | 150 | 1000 | 2,38E−01 | 4,88E-01 | 8,85E−04 |
2 | LSTM | BRENT-XAU | 1 | 150 | 1000 | 2,38E−01 | 4,88E−01 | 8,64E−04 |
3 | LSTM | BRENT-XAU-SPX | 1 | 150 | 700 | 2,38E−01 | 4,88E−01 | 8,27E−04 |
4 | LSTM | BRENT-EURO-XAU | 2 | 150 | 700 | 2,38E−01 | 4,88E−01 | 9,31E−04 |
5 | LSTM | BRENT | 1 | 150 | 700 | 2,38E−01 | 4,88E−01 | 8,18E−04 |
|  | HAR | SPX |  |  | 700 | 2,43E−01 | 4,93E−01 | 8,35E−04 |