A hybrid model integrating artificial neural network with multiple GARCH-type models and EWMA for performing the optimal volatility forecasting of market risk factors.
Francisco Pérez-HernándezAlvaro Arévalo-de-PablosMaría-del-Mar Camacho-MiñanoPublished in: Expert Syst. Appl. (2024)
Keyphrases
- hybrid model
- artificial neural networks
- garch model
- forecasting accuracy
- risk factors
- hybrid models
- stock market
- support vector regression
- exchange rate
- arima model
- stock price
- neural network
- back propagation
- financial time series
- risk assessment
- investment strategies
- forecasting model
- financial data
- soft computing
- statistical methods
- long term
- pattern recognition