期刊
出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.procs.2016.07.145
关键词
Volatility forecast; ANN; GARCH; Energy index
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.
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