GARCH based artificial neural networks in forecasting conditional variance of stock returns

DOI10.17535/crorr.2014.0017zbMath1359.62439OpenAlexW1967136314MaRDI QIDQ2965681

Josip Arnerić, Zdravka Aljinović, Tea Poklepović

Publication date: 3 March 2017

Published in: Croatian Operational Research Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17535/crorr.2014.0017

zbMATH Keywords

GARCHvolatility persistenceconditional varianceneural networks (NN)forecast error

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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