Novel hybrid model based on echo state neural network applied to the prediction of stock price return volatility

作者：

Highlights：

• New hybrid model for predicting realized volatility of stock prices.

• Combines the HAR model, ESN, and the PSO metaheuristic.

• Helps to settle a new hybrid benchmark for researches on this challenging topic.

摘要

•New hybrid model for predicting realized volatility of stock prices.•Combines the HAR model, ESN, and the PSO metaheuristic.•Helps to settle a new hybrid benchmark for researches on this challenging topic.

论文关键词：Volatility prediction,Echo state network,Heterogeneous autoregressive model,Particle swarm optimization

论文评审过程：Received 30 August 2020, Revised 18 March 2021, Accepted 24 June 2021, Available online 29 June 2021, Version of Record 26 July 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115490