An artificial neural network-GARCH model for international stock return volatility

Journal of Empirical Finance

Volumn 4, Issue 1, 1997, Pages 17-46

  Donaldson, R Glen ^a   Kamstra, Mark ^b  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

ARCH; Artificial neural networks; C32; C52; C53; G12; Stock prices; Volatility

Indexed keywords

EID: 0010063925     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(96)00011-4     Document Type: Article

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