Enhancing Market Risk Prediction: Integrating Deep Learning with GARCH Models for Accurate Value at Risk (VaR) and Expected Shortfall (ES) Forecasting
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Authors
- Bolaji Tunde Matemilola (ORCID: https://orcid.org/0000-0002-2015-4061)
- Yangfan Cao (ORCID: https://orcid.org/0000-0003-0850-0416)
- Choo Wei Chong
Publication Details
- Journal
- International Journal of Information and Decision Sciences
- Published
- 2025-11-25
- DOI
- https://doi.org/10.1504/ijids.2027.10074838
- Primary Topic
- Financial Risk and Volatility Modeling
- Type
- article
- Field-Weighted Citation Impact
- 0.00