Forecasting Stock Market Volatility Using CNN-BiLSTM-Attention Model with Mixed-Frequency Data

Yufeng Zhang, Tonghui Zhang () and Jingyi Hu
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Yufeng Zhang: School of Economics, Ocean University of China, Qingdao 266100, China
Tonghui Zhang: School of Economics, Ocean University of China, Qingdao 266100, China
Jingyi Hu: SWUFE-UD Institute of Data Science, Southwestern University of Finance and Economics, Chengdu 611130, China

Mathematics, 2025, vol. 13, issue 11, 1-26

Abstract: Existing stock volatility forecasting models predominantly rely on same-frequency market data while neglecting mixed-frequency integration and face particular challenges in incorporating low-frequency macroeconomic variables that exhibit temporal mismatches with financial market dynamics. To address this limitation, this study develops a novel hybrid approach for stock market volatility forecasting, which synergistically combines a deep learning model (CNN-BiLSTM-Attention) with the GARCH-MIDAS model. The GARCH-MIDAS model can fully exploit mixed-frequency information, including daily returns, monthly macroeconomic variables, and EPU. The deep learning model can effectively capture both spatial and temporal patterns of multivariate time-series data, thus effectively improving prediction accuracy and generalization ability in stock market volatility forecasting. The results indicate that the CNN-BiLSTM-Attention model yields the most accurate forecasts compared to the benchmark models. Furthermore, incorporating additional predictors, such as macroeconomic indicators and the Economic Policy Uncertainty Index, also provides valuable information for stock market volatility prediction, notably enhancing the model’s forecasting effect.

Keywords: macroeconomic variables; volatility forecasting; GARCH-MIDAS model; deep learning model (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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