Volatility forecast using hybrid Neural Network models

作者：

Highlights：

• An Artificial Neural Network model was used to improve financial forecasts.

• Significant reduction in the error of financial forecasts is demonstrated.

• Artificial Neural Network models outperformed a simple GARCH(1, 1) in forecasting.

• Differences in performance increase varied across Latin American markets.

摘要

•An Artificial Neural Network model was used to improve financial forecasts.•Significant reduction in the error of financial forecasts is demonstrated.•Artificial Neural Network models outperformed a simple GARCH(1, 1) in forecasting.•Differences in performance increase varied across Latin American markets.

论文关键词：Artificial Neural Networks,GARCH models,Risk forecast,Emerging markets,Latin,American stock markets

论文评审过程：Available online 11 October 2013.

论文官网地址：https://doi.org/10.1016/j.eswa.2013.09.043