Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
389002 | Expert Systems with Applications | 2007 | 7 Pages |
Abstract
Accurate volatility forecasting is the core task in the risk management in which various portfolios’ pricing, hedging, and option strategies are exercised. Prior studies on stock market have primarily focused on estimation of stock price index by using financial time series models and data mining techniques. This paper proposes hybrid models with neural network and time series models for forecasting the volatility of stock price index in two view points: deviation and direction. It demonstrates the utility of the hybrid model for volatility forecasting. This model demonstrates the utility of the neural network forecasting combined with time series analysis for the financial goods.
Related Topics
Physical Sciences and Engineering
Computer Science
Artificial Intelligence
Authors
Tae Hyup Roh,