Journal
EXPERT SYSTEMS WITH APPLICATIONS
Volume 41, Issue 5, Pages 2437-2442Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.eswa.2013.09.043
Keywords
Artificial Neural Networks; GARCH models; Risk forecast; Emerging markets; Latin; American stock markets
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In this research the testing of a hybrid Neural Networks-GARCH model for volatility forecast is performed in three Latin-American stock exchange indexes from Brazil, Chile and Mexico. A detail of the methodology and application of the volatility forecast of financial series using a hybrid artificial Neural Network model are presented. The results demonstrate that the ANN models can improve the forecasting performance of the GARCH models when studied in the three Latin-American markets and it is shown that the results are robust and consistent for different ANN specifications and different volatility measures. (C) 2013 Elsevier Ltd. All rights reserved.
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