Advantages of Combining Factorization Machine with Elman Neural Network for Volatility Forecasting of Stock Market

Table 5

Forecasting errors of the FM-Elman model when .

Dimension	S&P 500			DJIA
	MAE	MAPE	RMSE	MAE	MAPE	RMSE
	40.3236	3.8834	46.6309	263.665	2.7759	335.7891
	43.5088	4.1692	49.7034	280.9011	2.9379	348.8277
	39.5023	3.8293	46.4366	254.584	2.6649	321.9889
	39.041	3.7597	45.4894	227.0823	2.3703	290.28
Dimension	SSEC			SZI
	MAE	MAPE	RMSE	MAE	MAPE	RMSE
	47.0132	1.6545	68.2408	222.8488	2.032	293.7208
	50.4433	1.8008	69.7871	228.2216	2.0552	298.6005
	50.8593	1.8233	70.5519	241.7771	2.1825	317.8106
	48.4128	1.7097	68.4333	240.4362	2.1684	316.2495