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Value at Risk of Stock Market Returns Using a Hidden Markov–LSTM Hybrid Model Cover

Value at Risk of Stock Market Returns Using a Hidden Markov–LSTM Hybrid Model

Sri Lankan Journal of Applied Statistics
Volume 27 (2026): Issue 1
By:   
Open Access
|Mar 2026
Authors

Authors

W. A. R. De Mel

ajith@maths.ruh.ac.lk

University of Ruhuna
DOI: https://doi.org/10.4038/sljas.v27i1.8231 | Journal eISSN: 2424-6271
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Language: English
Page range: 118 - 131
Published on: Mar 31, 2026
Published by: The Institute of Applied Statistics, Sri Lanka
In partnership with: Paradigm Publishing Services
Keywords:
Forecasting,
Hidden Markov model,
LSTM,
Regime switching,
Backtesting,
Value at risk,
Expected shortfall

© 2026 W. A. R. De Mel, published by The Institute of Applied Statistics, Sri Lanka
This work is licensed under the Creative Commons Attribution 4.0 License.

Volume 27 (2026): Issue 1
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