Ngoc Vien

DARE Project: Volatility Forecasting and VIX Option Pricing Using Neural Networks
Program(s) of Study: Applied Mathematics & Economics
Project Supervisor: Nabil Tahani

I hope my research contributes to improving risk forecasting and decision-making in financial markets.

Project Description:

In my DARE research project, I developed a hybrid Time Series and Machine Learning model (LSTM-GARCH) to forecast the volatility of the S&P 500 index. The model integrates the VIX option as a key input variable, allowing for more accurate and dynamic volatility predictions.

The Dean’s Award for Research Excellence (DARE) - Undergraduate enables our students to meaningfully engage in research projects supervised by LA&PS faculty members. Find out more about DARE.