Volatility Forecasting Using a Hybrid GJR-GARCH Neural Network Model.
Soheil Almasi MonfaredDavid EnkePublished in: Complex Adaptive Systems (2014)
Keyphrases
- garch model
- neural network model
- stock market
- neural network
- artificial neural networks
- bp neural network
- sar images
- multivariate time series
- forecasting accuracy
- neural models
- rbf neural network
- back propagation neural network
- heavy tailed
- dynamic characteristics
- hopfield network
- financial time series
- bayesian framework