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Volatility forecast based on intelligent EGARCH error correction model

Liqiang Hou ; School of Management of Hefei, University of Technology, Anhui Hefei 230009, China
Shanlin Yang ; School of Management of Hefei, University of Technology, Anhui Hefei 230009, China

Puni tekst: engleski, pdf (1 MB) str. 961-968 preuzimanja: 196* citiraj
APA 6th Edition
Hou, L. i Yang, S. (2013). Volatility forecast based on intelligent EGARCH error correction model. Tehnički vjesnik, 20 (6), 961-968. Preuzeto s https://hrcak.srce.hr/112314
MLA 8th Edition
Hou, Liqiang i Shanlin Yang. "Volatility forecast based on intelligent EGARCH error correction model." Tehnički vjesnik, vol. 20, br. 6, 2013, str. 961-968. https://hrcak.srce.hr/112314. Citirano 18.09.2020.
Chicago 17th Edition
Hou, Liqiang i Shanlin Yang. "Volatility forecast based on intelligent EGARCH error correction model." Tehnički vjesnik 20, br. 6 (2013): 961-968. https://hrcak.srce.hr/112314
Harvard
Hou, L., i Yang, S. (2013). 'Volatility forecast based on intelligent EGARCH error correction model', Tehnički vjesnik, 20(6), str. 961-968. Preuzeto s: https://hrcak.srce.hr/112314 (Datum pristupa: 18.09.2020.)
Vancouver
Hou L, Yang S. Volatility forecast based on intelligent EGARCH error correction model. Tehnički vjesnik [Internet]. 2013 [pristupljeno 18.09.2020.];20(6):961-968. Dostupno na: https://hrcak.srce.hr/112314
IEEE
L. Hou i S. Yang, "Volatility forecast based on intelligent EGARCH error correction model", Tehnički vjesnik, vol.20, br. 6, str. 961-968, 2013. [Online]. Dostupno na: https://hrcak.srce.hr/112314. [Citirano: 18.09.2020.]
Puni tekst: hrvatski, pdf (1 MB) str. 961-968 preuzimanja: 370* citiraj
APA 6th Edition
Hou, L. i Yang, S. (2013). Predviđanje promjenjivosti na temelju inteligentnog EGARCH modela korekcije pogreške. Tehnički vjesnik, 20 (6), 961-968. Preuzeto s https://hrcak.srce.hr/112314
MLA 8th Edition
Hou, Liqiang i Shanlin Yang. "Predviđanje promjenjivosti na temelju inteligentnog EGARCH modela korekcije pogreške." Tehnički vjesnik, vol. 20, br. 6, 2013, str. 961-968. https://hrcak.srce.hr/112314. Citirano 18.09.2020.
Chicago 17th Edition
Hou, Liqiang i Shanlin Yang. "Predviđanje promjenjivosti na temelju inteligentnog EGARCH modela korekcije pogreške." Tehnički vjesnik 20, br. 6 (2013): 961-968. https://hrcak.srce.hr/112314
Harvard
Hou, L., i Yang, S. (2013). 'Predviđanje promjenjivosti na temelju inteligentnog EGARCH modela korekcije pogreške', Tehnički vjesnik, 20(6), str. 961-968. Preuzeto s: https://hrcak.srce.hr/112314 (Datum pristupa: 18.09.2020.)
Vancouver
Hou L, Yang S. Predviđanje promjenjivosti na temelju inteligentnog EGARCH modela korekcije pogreške. Tehnički vjesnik [Internet]. 2013 [pristupljeno 18.09.2020.];20(6):961-968. Dostupno na: https://hrcak.srce.hr/112314
IEEE
L. Hou i S. Yang, "Predviđanje promjenjivosti na temelju inteligentnog EGARCH modela korekcije pogreške", Tehnički vjesnik, vol.20, br. 6, str. 961-968, 2013. [Online]. Dostupno na: https://hrcak.srce.hr/112314. [Citirano: 18.09.2020.]

Sažetak
As the stock market volatility is highly nonlinear, coupling and time varying, it is difficult to predict by the traditional forecasting methods. For explaining the existing problems of the current volatility forecasting method, we use the model based on the weighted least squares support vector regression (WLS-SVR) method to predict the stock index volatility in this paper. After the prediction, there is the error sequence that is a random time series. Therefore, this paper proposes the use of EGRACH model to construct an error forecast model based on the returns of stock predicted error time series. Then, we use these results to correct the volatility of stock. Finally, we use the volatility of Shanghai Composite Index as the application object. The experimental results show that the prediction accuracy of this method has improved significantly with regard to other forecasting methods.

Ključne riječi
error correction; forecasting; intelligent EGARCH model; SPA test; volatility

Hrčak ID: 112314

URI
https://hrcak.srce.hr/112314

[hrvatski]

Posjeta: 799 *