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Financial Innovation

Table 9 Model configuration for the best model for the entire period using classical analysis (daily analysis)

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

Model

Type

MSE

RMSE

MAE

LSTM

Only

2,38E−05

4,88E−03

8,18E−04

HAR

Only

2,43E−05

4,93E−03

8,35E−04

LSTM

Combined

2,32E−05

4,82E−03

5,54E−04

HAR

Combined

2,35E−05

4,84E−03

4,92E−04

Proposed model

Hybrid

2,31E−05

4,81E−03

3,84E−04

  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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