Dynamic learning rate adjustment using volatility in LSTM models for KLCI forecasting
The prediction of financial market behaviour constitutes a multifaceted challenge, attributable to the underlying volatility and non-linear characteristics inherent within market data. Long Short-Term Memory (LSTM) models have demonstrated efficacy in capturing these complexities. This study proposes a novel approach to enhance LSTM model performance by modulating the learning rate adaptively based on market volatility. We apply this method to forecast the Kuala Lumpur Composite Index (KLCI), leveraging volatility as a key input to adapt the learning rate during trai