Long Short-Term Memory Recurrent Neural Network for Predicting the Return of Rate Underframe the Fama-French 5 Factor

Table 4

RMSE error for 10 categories.

Portfolio	MLE	RNN
1	3.024	2.144
2	2.530	1.921
3	2.283	2.000
4	2.412	1.982
5	2.327	2.163
6	2.847	1.990
7	2.244	1.738
8	2.650	1.772
9	2.892	1.930
10	2.702	1.878
Average	2.591	1.952