Forecasting Volatility of Stock Index: Deep Learning Model with Likelihood-Based Loss Function

Table 12

Log likelihoods of the test sample when the test set is 20%.

	S&P 500	Dow Jones	NASDAQ
LSTM (likelihood-based loss)	15197.71	20290.54	8001.75
DNN (likelihood-based loss)	15193.05	20236.08	7969.07
LSTM (MSE loss)	15140.80	20174.46	7913.75
DNN (MSE loss)	15087.88	20114.91	7856.39
ARMA-GARCH	15124.33	20203.73	7929.03
Simple	14883.33	19902.60	7787.29