Boosting GARCH and neural networks for the prediction of heteroskedastic time series

DOI10.1016/J.MCM.2009.08.013MaRDI QIDQ984159zbMATH OpenOpenAlexFDO

Authors J. M. Matías, Manuel Febrero-Bande, Wenceslao González-Manteiga, Juan C. Reboredo

Publication date 16 July 2010

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2009.08.013

zbMATH Keywords

boostingheteroskedasticityGARCHvolatilityneural networks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Neural nets and related approaches to inference from stochastic processes (62M45)

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• Reprint of: Generalized autoregressive conditional heteroskedasticity

Cited in

(6)

• Boosting techniques for nonlinear time series models
• Prediction and identification of physical systems by means of physically-guided neural networks with meaningful internal layers
• Ai algorithms for fitting GARCH parameters to empirical financial data
• Forecasting energy commodity prices using neural networks
• An application of neural networks trained with Kalman filter variants (EKF and UKF) to heteroscedastic time series forecasting
• GARCH based artificial neural networks in forecasting conditional variance of stock returns

Describes a project that uses

Uses Software

• AdaBoost.MH

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