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Tekijä: | Donaldson, R. Kamstra, M. |
Otsikko: | An artificial neural network-GARCH model for international stock return volatility |
Lehti: | Journal of Empirical Finance
1997 : MAR, VOL. 4:1, p. 17-46 |
Asiasana: | STOCK RETURNS FINANCE VOLATILITY |
Kieli: | eng |
Tiivistelmä: | The authors construct a seminoparametric nonlinear GARCH model, based on the Artificial Neural Network (ANN) literature, and evaluate its ability to forecast stock return volatility in London, New York, Tokyo and Toronto. In-sample and out-of-sample comparisons reveal that their ANN modle captures volatility effects overlooked by GARCH, EGARCH and GJR models and produces out-of-sample volatility forecasts which encompass those from other models. |
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