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- Title
STOCHASTIC VOLATILITY FORESTING MODELS FOR FUTURES INDEX VOLATILITY.
- Authors
Hsiao-Fen Hsiao; Ta-Shun Cho
- Abstract
By using stochastic volatility (SV) models, this study uses data on the daily futures index of futures market, namely the Taiwan Futures Index, Dow Jones Futures Index, Nikkei 225 Futures Index, and FTSE Futures Index, in the period 2010 to 2015 for comparing the forecast ability of alternative stochastic futures index representations. We develop a new concept for volatility models. The objective is to integrate an artificial neural network into a stochastic volatility model for estimating futures index volatility. The results suggest that the combined stochastic volatility and artificial neural network model outperforms other models in estimating the futures index of the all cases.
- Subjects
STOCHASTIC analysis; MARKET volatility; STOCHASTIC orders; FINANCIAL risk; NIKKEI 225
- Publication
International Journal of Organizational Innovation, 2017, Vol 9, Issue 4, p237
- ISSN
1943-1813
- Publication type
Article