Back to Article
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 4. RNN-LSTM AIC Result for Train and Validation Result for Euro, Pound Sterling and US Dollars
| Euro | Pound Sterling | US Dollars | ||||
| Structure of the LSTM Model | AIC of Training | AIC of Testing | AIC of Training | AIC of Testing | AIC of Training | AIC of Testing |
| p = 1, q = 1 | 5.44 | 5.65 | 5.56 | 5.64 | 4.32 | 4.64 |
| p = 5, q = 1 | 3.56 | 3.71 | 3.88 | 3.92 | 2.76 | 2.97 |
| p = 10, q = 1 | 3.12 | 3.22 | 3.40 | 3.82 | 2.22 | 2.67 |
| p = 20 q = 1 | 3.32 | 3.39 | 3.33 | 3.91 | 2.51 | 2.74 |
| p = 40, q = 1 | 3.05 | 3.49 | 3.46 | 3.83 | 2.35 | 2.53 |
| p = 80, q = 1 | 7.21 | 8.12 | 9.32 | 9.93 | 2.69 | 2.94 |
| p = 4, q = 4 | 6.63 | 6.92 | 7.75 | 7.92 | 5.31 | 5.59 |
| p = 8, q = 8 | 6.92 | 7.11 | 7.87 | 8.02 | 5.42 | 5.88 |
| p = 4, q = 40 | 6.64 | 6.93 | 7.54 | 7.74 | 6.42 | 7.03 |
| p = 8, q = 80 | 5.31 | 5.66 | 6.11 | 6.63 | 5.87 | 6.34 |