Garch model indentification using neural network

GARCH models are being largely used to estimate the volatility offinancial assets, and GARCH(1,1) is the one most used. However, identificationof GARCH models is not fully explored. Some specialist systems technology havebeen used in some applications of time series models such as time seriesclassif...

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Detalhes bibliográficos
Autores: Caldeira, André Machado, Machado, Maria Augusta Soares, Souza, Reinaldo Castro, Tanscheit, Ricardo
Formato: artículo
Estado:Versión publicada
Fecha de publicación:2014
País:Brasil
Recursos:Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)
Repositorio:Independent Journal of Management & Production
Idioma:inglés
OAI Identifier:oai:www.ijmp.jor.br:article/161
Acesso em linha:http://www.ijmp.jor.br/index.php/ijmp/article/view/161
Access Level:acceso abierto
Palavra-chave:GARCH
Volatility
Identification.
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spelling Garch model indentification using neural networkGARCHVolatilityIdentification.GARCH models are being largely used to estimate the volatility offinancial assets, and GARCH(1,1) is the one most used. However, identificationof GARCH models is not fully explored. Some specialist systems technology havebeen used in some applications of time series models such as time seriesclassification problems, ARMA models identification, as well as SARIMA. The aim of this paper is to develop an intelligent system that can accurately identifythe specification of GARCH models providing the right choice of the model to beused, thus avoiding the indiscriminate usage of GARCH(1,1) model.Independent2014-05-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdftext/htmlhttp://www.ijmp.jor.br/index.php/ijmp/article/view/16110.14807/ijmp.v5i2.161Independent Journal of Management & Production; Vol. 5 No. 2 (2014): Independent Journal of Management & Production; 527-5412236-269X2236-269Xreponame:Independent Journal of Management & Productioninstname:Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)instacron:IJM&Penghttp://www.ijmp.jor.br/index.php/ijmp/article/view/161/122http://www.ijmp.jor.br/index.php/ijmp/article/view/161/390info:eu-repo/semantics/openAccessCaldeira, André MachadoMachado, Maria Augusta SoaresSouza, Reinaldo CastroTanscheit, Ricardo2024-04-24T12:36:28Zoai:www.ijmp.jor.br:article/161Revistahttp://www.ijmp.jor.br/PUBhttp://www.ijmp.jor.br/index.php/ijmp/oaiijmp@ijmp.jor.br||paulo@paulorodrigues.pro.br||2236-269X2236-269Xopendoar:2024-04-24T12:36:28Independent Journal of Management & Production - Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)false
dc.title.none.fl_str_mv Garch model indentification using neural network
title Garch model indentification using neural network
spellingShingle Garch model indentification using neural network
Caldeira, André Machado
GARCH
Volatility
Identification.
title_short Garch model indentification using neural network
title_full Garch model indentification using neural network
title_fullStr Garch model indentification using neural network
title_full_unstemmed Garch model indentification using neural network
title_sort Garch model indentification using neural network
dc.creator.none.fl_str_mv Caldeira, André Machado
Machado, Maria Augusta Soares
Souza, Reinaldo Castro
Tanscheit, Ricardo
author Caldeira, André Machado
author_facet Caldeira, André Machado
Machado, Maria Augusta Soares
Souza, Reinaldo Castro
Tanscheit, Ricardo
author_role author
author2 Machado, Maria Augusta Soares
Souza, Reinaldo Castro
Tanscheit, Ricardo
author2_role author
author
author
dc.subject.por.fl_str_mv GARCH
Volatility
Identification.
topic GARCH
Volatility
Identification.
description GARCH models are being largely used to estimate the volatility offinancial assets, and GARCH(1,1) is the one most used. However, identificationof GARCH models is not fully explored. Some specialist systems technology havebeen used in some applications of time series models such as time seriesclassification problems, ARMA models identification, as well as SARIMA. The aim of this paper is to develop an intelligent system that can accurately identifythe specification of GARCH models providing the right choice of the model to beused, thus avoiding the indiscriminate usage of GARCH(1,1) model.
publishDate 2014
dc.date.none.fl_str_mv 2014-05-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.ijmp.jor.br/index.php/ijmp/article/view/161
10.14807/ijmp.v5i2.161
url http://www.ijmp.jor.br/index.php/ijmp/article/view/161
identifier_str_mv 10.14807/ijmp.v5i2.161
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv http://www.ijmp.jor.br/index.php/ijmp/article/view/161/122
http://www.ijmp.jor.br/index.php/ijmp/article/view/161/390
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
text/html
dc.publisher.none.fl_str_mv Independent
publisher.none.fl_str_mv Independent
dc.source.none.fl_str_mv Independent Journal of Management & Production; Vol. 5 No. 2 (2014): Independent Journal of Management & Production; 527-541
2236-269X
2236-269X
reponame:Independent Journal of Management & Production
instname:Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)
instacron:IJM&P
instname_str Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)
instacron_str IJM&P
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reponame_str Independent Journal of Management & Production
collection Independent Journal of Management & Production
repository.name.fl_str_mv Independent Journal of Management & Production - Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)
repository.mail.fl_str_mv ijmp@ijmp.jor.br||paulo@paulorodrigues.pro.br||
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score 15,301603

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