Wen, Conghua; Zhai, Jia; Wang, Yinuo; Cao, Yi - 2023
This study employs machine learning models to forecast and comprehend the implied volatility of China ETF50. We develop … a hybrid model named LSTM-ML, leveraging historical implied volatility, moneyness, and time-to-maturity as input … features. The LSTM component captures dynamic hidden information from time series of volatility to generate temporal features …
