Improving Value-at-Risk forecast using GA-ARMA-GARCH and AI-KDE models.
Khreshna SyuhadaVenansius TjahjonoArief HakimPublished in: Appl. Soft Comput. (2023)
Keyphrases
- genetic algorithm ga
- artificial intelligence
- genetic algorithm
- moving average
- monte carlo simulation
- statistical models
- expert systems
- genetic programming
- intelligent systems
- long term
- computational models
- probabilistic model
- parameter estimation
- complex systems
- multi objective
- hybrid model
- autoregressive
- risk assessment
- ai systems
- knowledge base