ESG Volatility Prediction Using GARCH and LSTM Models

ESG Volatility Prediction Using GARCH and LSTM Models

This study aims to predict the ESG (environmental, social, and governance) return volatility based on ESG index data from 26 October 2017 and 31 March 2023 in the case of India. In this study, we utilized GARCH (Generalized Autoregressive Conditional Heteroskedasticity) and LSTM (Long Short-Term Mem...

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Bibliographic Details
Main Authors: Mishra Akshay Kumar, Kumar Rahul, Bal Debi Prasad
Format: Article
Language:English
Published: Sciendo 2023-12-01
Series:Financial Internet Quarterly
Subjects:
esg volatility
garch
lstm model
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d53
g34
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Online Access:https://doi.org/10.2478/fiqf-2023-0029

Internet

https://doi.org/10.2478/fiqf-2023-0029

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