with GARCH, GMDH's accuracy is much higher, indicating that the machine learning approach can provide a highly accurate … train. Even with small training samples, GMDH can outperform GARCH in prediction accuracy. Research limitations …Purpose: The Group Method of Data Handling (GMDH) neural network has demonstrated good performance in data mining …

such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …-type models. Notably, GAS-family models exhibit superior performance in terms of in-sample fit, out-of-sample forecast accuracy …