Forecasting Stock Return Volatility Using the Realized Garch Model and an Artificial Neural Network

DOI10.14529/MMP230403MaRDI QIDQ6153065zbMATH OpenOpenAlexFDO

Authors M. El Merzguioui, Abdelhadi Akharif

Publication date 13 February 2024

Published in Bulletin of the South Ural State University. Series "Mathematical Modelling, Programming and Computer Software" (Search for Journal in Brave)

Full work available at URL http://mathnet.ru/eng/vyuru700

zbMATH Keywords

Granger causality testhybridrealized GARCH modelvolatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Neural nets and related approaches to inference from stochastic processes (62M45) Applications of statistics to actuarial sciences and financial mathematics (62P05) Artificial neural networks and deep learning (68T07)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 568891 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Out of sample forecasts of quadratic variation

Cited in

(1)

• A hybrid GARCH and deep learning method for volatility prediction

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