| کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
|---|---|---|---|---|
| 382088 | 660728 | 2015 | 7 صفحه PDF | دانلود رایگان |
کلمات کلیدی
1.مقدمه
2. مرور ادبیات
3. روش شناسی و داده
4. تحلیل نتایج
جدول 1. آمار توصیفی بازده های لگاریتمی قیمت های طلا
جدول 2. آمار توصیفی متغیرهای مستقل
جدول 3. ماتریس همبستگی بین متغیرهای مستقل و نوسان برای افق های مختلف
جدول 4. نتایج عملکرد برای مدل های پیش بینی
جدول 5. نتایج عملکرد برای مدل های پیش بینی برای افق های مختلف پیش بینی
جدول 6. نتایج عملکرد برای مدل های پیش بینی برای افق های مختلف پیش بینی با دو سال داده در ورودی
جدول 7. نتایج عملکرد برای مدل های پیش بینی توسط دورها
5. نتیجه گیری
• In this study, a hybrid model is analyzed to predict the price return volatility of the gold spot price and future price.
• The hybrid model used is a ANN–GARCH model.
• The incorporation of the ANN over the best GARCH model with regressors prediction reduces the error increasing the precision of the price return volatility forecasting.
• It was possible to determine the influence of financial variables into the gold price return volatility.
One of the most used methods to forecast price volatility is the generalized autoregressive conditional heteroskedasticity (GARCH) model. Nonetheless, the errors in prediction using this approach are often quite high. Hence, continued research is conducted to improve forecasting models employing a variety of techniques. In this paper, we extend the field of expert systems, forecasting, and model by applying an Artificial Neural Network (ANN) to the GARCH method generating an ANN–GARCH. The hybrid ANN–GARCH model is applied to forecast the gold price volatility (spot and future). The results show an overall improvement in forecasting using the ANN–GARCH as compared to a GARCH method alone. An overall reduction of 25% in the mean average percent error was realized using the ANN–GARCH. The results are realized using the Euro/Dollar and Yen/Dollar exchange rates, the DJI and FTSE stock market indexes, and the oil price return as inputs. We discuss the implications of the study within the context of the discipline as well as practical applications.
Journal: Expert Systems with Applications - Volume 42, Issue 20, 15 November 2015, Pages 7245–7251