Related papers: Sector Volatility Prediction Performance Using GAR…

In this paper, an application of three GARCH-type models (sGARCH, iGARCH, and tGARCH) with Student t-distribution, Generalized Error distribution (GED), and Normal Inverse Gaussian (NIG) distribution are examined. The new development allows…

Conventional predictive Artificial Neural Networks (ANNs) commonly employ deterministic weight matrices; therefore, their prediction is a point estimate. Such a deterministic nature in ANNs causes the limitations of using ANNs for medical…

During the last decades there has been increasing interest in modeling the volatility of financial data. Several parametric models have been proposed to this aim, starting from ARCH, GARCH and their variants, but often it is hard to…

This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being…

This study examines the performance of a volatility-based strategy using Chinese equity index ETF options. Initially successful, the strategy's effectiveness waned post-2018. By integrating GARCH models for volatility forecasting, the…

We propose a novel method to quantify the clustering behavior in a complex time series and apply it to a high-frequency data of the financial markets. We find that regardless of used data sets, all data exhibits the volatility clustering…

Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) models neglect structural breaks triggered by…

This project introduces the GNAR-HARX model, which combines Generalised Network Autoregressive (GNAR) structure with Heterogeneous Autoregressive (HAR) dynamics and exogenous predictors such as implied volatility. The model is designed for…

Volatility asymmetry is a hot topic in high-frequency financial market. In this paper, we propose a new econometric model, which could describe volatility asymmetry based on high-frequency historical data and low-frequency historical data.…

This paper introduces an extension of the Markov switching GARCH model where the volatility in each state is a convex combination of two different GARCH components with time varying weights. This model has the dynamic behavior to capture…

We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the…

Due to imprecision and uncertainties in predicting real world problems, artificial neural network (ANN) techniques have become increasingly useful for modeling and optimization. This paper presents an artificial neural network approach for…

This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH model by embedding the discrete realized GARCH structure in…

Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volatility estimators, each with unique advantages and…

The Stochastic Volatility (SV) model and its variants are widely used in the financial sector while recurrent neural network (RNN) models are successfully used in many large-scale industrial applications of Deep Learning. Our article…

One of the most important features of financial time series data is volatility. There are often structural changes in volatility over time, and an accurate estimation of the volatility of financial time series requires careful…

In recent days, Artificial Neural Network (ANN) can be applied to a vast majority of fields including business, medicine, engineering, etc. The most popular areas where ANN is employed nowadays are pattern and sequence recognition, novelty…

In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH…

In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. We test algorithms including regularized regression and…

We develop a procedure for forecasting the volatility of a time series immediately following a news shock. Adapting the similarity-based framework of Lin and Eck (2020), we exploit series that have experienced similar shocks. We aggregate…