Comparing Forecasts of GARCH (1, 1)-M and GARCH (1, 1)-M-ANNs Model: A Study Based On Stock Market Data

Abstract

V olatility plays a key role in derivative pricing and hedging, risk management and optimal portfolio selection. Modeling and forecasting stock market data are always challenging for market practitioners and researchers. Past literatures show that financial return series contains different characteristics such as: Volatility clustering, leverage effect, and long persistence etc.

Epedimiological Survey on Trypanosomiasis in Dromedary Camels of District Tank Khyber Pakhtunkhwa, Pakistan

“…In ANNs modeling, the percentage of logarithmic returns of daily price data is divided into model building and testing (out-sample forecast). Model building period from January 1 st , 2013 to September 6 th , 2019 are then split into training and validity set (Fatima and Hussain, 2008;Fatima and Uddin, 2017b). Whereas, data from September 7 th , 2019 to December 31 st 2019 is used for out-sample forecasting.…”