A hybrid modeling approach for forecasting the volatility of S&P 500 index return

Expert Systems with Applications

Volumn 39, Issue 1, 2012, Pages 431-436

  Hajizadeh, E ^a   Seifi, A ^a   Fazel Zarandi, M H ^a   Turksen, I B ^b,c  

^a AMIRKABIR UNIVERSITY OF TECHNOLOGY   (Iran)

^b UNIVERSITY OF TORONTO   (Canada)

^c TOBB UNIVERSITY OF ECONOMICS AND TECHNOLOGY   (Turkey)

Author keywords

Artificial Neural Networks; GARCH models; Realized volatility; Simulated series; Volatility

Indexed keywords

COMPUTATIONAL RESULTS; EGARCH MODELS; EXPLANATORY VARIABLES; FINANCIAL DECISIONS; FORECASTING VOLATILITY; GARCH MODELS; HYBRID MODEL; HYBRID MODELING; REALIZED VOLATILITY; SIMULATED DATA; SIMULATED SERIES; VOLATILITY; VOLATILITY FORECASTS;

FORECASTING; NEURAL NETWORKS;

COMPUTER SIMULATION;

EID: 81855167117     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2011.07.033     Document Type: Article

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