Combine GARCH model and neural networks to forecast Value at Risk (VAR) in the futures market

DOI10.1080/09720510.2009.10701401zbMath1177.91106OpenAlexW2023029462MaRDI QIDQ3640000

Hae-Ching Chang, Cheng-Te Chen, Chin-Shan Hsieh

Publication date: 26 October 2009

Published in: Journal of Statistics and Management Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720510.2009.10701401

zbMATH Keywords

neural networksGARCH modelvalue at risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) Neural nets and related approaches to inference from stochastic processes (62M45)

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