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| Author: | Miranda, G. F. Burgess, N. |
| Title: | Modelling market volatilities: The neural network perspective |
| Journal: | European Journal of Finance
1997 : JUN, VOL. 3:2, p. 137-157 |
| Index terms: | MARKETS VOLATILITY NEURAL NETWORKS TESTS |
| Language: | eng |
| Abstract: | This article investigates the use of Artificial Neural Networks (NN) to forecast volatility. The study assesses the dynamic behavior of market volatility by forecasting the volatility implied in the transaction prices of options. NN technique is used within the framework of a model building strategy trying to capitalize on the well known feature of persistence in volatility series. Forecasting with non-linear NNs generally produces forecasts which, on the basis of out-of-sample forecast encompassing tests and mean squared error comparisons, ordinarily dominate forecasts form traditional linear methods. |
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