Non-linear modelling and forecasting of S&P 500 volatility.
Peter VerhoevenBerndt PilgramMichael McAleerAlistair MeesPublished in: Math. Comput. Simul. (2002)
Keyphrases
- financial time series
- stock market
- stock index
- garch model
- stock price
- exchange rate
- financial markets
- turning points
- stock exchange
- stock index futures
- short term
- financial data
- non stationary
- stock returns
- grey model
- multivariate time series
- foreign exchange
- learning algorithm
- support vector regression
- trading systems
- decision trees
- decision making
- neural network
- data sets
- database