Volatility Forecast Based on the Hybrid Artificial Neural Network and GARCH-type Models

This study compares the forecast performance of volatilities between two types of hybrid ANN and GARCH-type models. The findings show that EGARCH-ANN model performs better than other models to forecast the volatilities of log-returns series in Chinese energy market, and there are significant leverage effects in Chinese energy market. (C) 2016 Published by Elsevier B.V.