VAR-GRU: A Hybrid Model for Multivariate Financial Time Series Prediction

• Main Authors: Lkhagvadorj Munkhdalai, Meijing Li, Nipon Theera-Umpon, Sansanee Auephanwiriyakul, Keun Ho Ryu
• Format: Book Series
• Published: 2020
• Subjects: Computer Science; Mathematics
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85082385074&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/68349
• Institution: Chiang Mai University

© 2020, Springer Nature Switzerland AG. A determining the most relevant variables and proper lag length are the most challenging steps in multivariate time series analysis. In this paper, we propose a hybrid Vector Autoregressive and Gated Recurrent Unit (VAR-GRU) model to find the contextual variab...