(G)ARCH-RBF Modelling of Conditional Volatility in Finance
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86095614" target="_blank" >RIV/61989100:27510/15:86095614 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
(G)ARCH-RBF Modelling of Conditional Volatility in Finance
Original language description
In this paper we investigate the importance of forecasting volatility in financial time series. We first present the models and methods used for volatility modelling nowadays, we discuss the basic properties of conditional financial volatility. We then suggest new hybrid model, so called ARCH-RBF which combines statistical ARCH model and RBF neural network into one hybrid model. We mathematically define our suggested hybrid model and we also theoretically present the upgraded version, so called GARCH-RBF and W-ARCH-RBF. Except for this we define the methodology - the forecasting procedure for practical ARCH-RBF forecasting. Finally, we discuss the proxy metrics which can ease the volatility modelling of differenced data.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
IN - Informatics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Strategic Management and its Support by Information Systems 2015 : proceedings of the 11th international conference : May 21st-22nd, Uherské Hradiště, Czech Republic
ISBN
978-80-248-3741-3
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
183-191
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Uherské Hradiště
Event date
May 21, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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