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Nigeria Exchange Rate Volatility: A Comparative Study of Recurrent Neural Network LSTM and Exponential Generalized Autoregressive Conditional Heteroskedasticity Models
Journal of Artificial Intelligence and Big Data
| Vol 4, Issue 2
Table 5. Comparison of EGARCH (1, 1) and LSTM Model for 30 DaysOut-of-Samples Forecast
| Currency | MSE | |
| EGARCH (1,1) | LSTM | |
| Euro | 224.7 | 228.9 |
| Pound Sterling | 231.3 | 554.1 |
| US Dollars | 138.5 | 921.4 |