Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network
An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding opera- tions such as banks, pension funds or insurance companies. This has become even more evident...
| Autores: | , , |
|---|---|
| Formato: | artículo |
| Fecha de publicación: | 2019 |
| País: | España |
| Recursos: | Universidad de Alcalá (UAH) |
| Repositorio: | e_Buah Biblioteca Digital Universidad de Alcalá |
| Idioma: | inglés |
| OAI Identifier: | oai:ebuah.uah.es:10017/59169 |
| Acesso em linha: | http://hdl.handle.net/10017/59169 https://dx.doi.org/10.1016/j.eswa.2019.03.046 |
| Access Level: | acceso abierto |
| Palavra-chave: | Machine learning Stacking algorithms Risk assessment Volatility forecasting Hybrid models Economía Economics |
| Resumo: | An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding opera- tions such as banks, pension funds or insurance companies. This has become even more evident after the 2007-2008 Financial Crisis, when the forecasting models assessing the market risk and volatility failed. Since then, a significant number of theoretical developments and methodologies have appeared to im- prove the accuracy of the volatility forecasts and market risk assessments. Following this line of thinking, this paper introduces a model based on using a set of Machine Learning techniques, such as Gradient Descent Boosting, Random Forest, Support Vector Machine and Artificial Neural Network, where those al- gorithms are stacked to predict S&P500 volatility. The results suggest that our construction outperforms other habitual models on the ability to forecast the level of volatility, leading to a more accurate assess- ment of the market risk |
|---|