Estimating Volatility of Saudi Stock Market Using Hybrid Dynamic Evolving Neural Fuzzy Inference System Models
Nawaf N. Hamadneh,
Jamil J. Jaber,
Saratha Sathasivam
Abstract:This paper examines the volatility risk in the KSA stock market (Tadawul), with a specific focus on predicting volatility using the logarithm of the standard deviation of stock market prices (LSCP) as the output variable. To enhance volatility prediction, it proposes the combined use of the dynamic evolving neural fuzzy inference system (DENFIS) and the nonlinear spectral model, maximum overlapping discrete wavelet transform (MODWT). This study utilizes a dataset comprising 4609 observations and investigates t… Show more
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