Non-linear versus non-gaussian volatility models in application to different financial markets

Miazhynskaia, Tatiana and Dorffner, Georg and Dockner, Engelbert J. (2003) Non-linear versus non-gaussian volatility models in application to different financial markets. Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 84. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications. As error measures we used the likelihood values on the test sets as well as standard volatility measures. The empirical analysis was based on return series of stock indices from different financial markets. The results indicate that for all markets there was found no improvement in the forecast by non-linear models over linear ones, while nongaussian models significantly dominate the gaussian models with respect to most performance measures. The likelihood performance measure mostly favours the linear model with Student-t distribution, but the significance of its superiority differs between the markets. (author's abstract)

Item Type: Paper
Keywords: forecasting / neural networks / time series models / volatility / GARCH
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Marketing > Service Marketing und Tourismus
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 11 Nov 2003 14:38
Last Modified: 22 Oct 2019 00:41
URI: https://epub.wu.ac.at/id/eprint/1598

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