haku: @author Kamstra, M. / yhteensä: 2
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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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