Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network

Econometric models have usually estimated both returns and conditional volatility in financial assets. This paper is intended in the comparison of this traditional approach with the more recent Backpropagation neural network. When applied to the Spanish Ibex-35 stock market index, we find that the n...

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Autores: García García, Fernando|||0000-0001-6364-520X, Guijarro, Francisco|||0000-0002-8803-5165, Moya Clemente, Ismael|||0000-0002-1219-1890, Oliver-Muncharaz, Javier|||0000-0001-5317-6489
Tipo de recurso: artículo
Fecha de publicación:2012
País:España
Institución:Universitat Politècnica de València (UPV)
Repositorio:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
Idioma:inglés
OAI Identifier:oai:riunet.upv.es:10251/60000
Acceso en línea:https://riunet.upv.es/handle/10251/60000
Access Level:acceso abierto
Palabra clave:Conditional volatility
Backpropagation neural network
GARCH-M
ECONOMIA FINANCIERA Y CONTABILIDAD
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spelling Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural NetworkGarcía García, Fernando|||0000-0001-6364-520XGuijarro, Francisco|||0000-0002-8803-5165Moya Clemente, Ismael|||0000-0002-1219-1890Oliver-Muncharaz, Javier|||0000-0001-5317-6489Conditional volatilityBackpropagation neural networkGARCH-MECONOMIA FINANCIERA Y CONTABILIDADEconometric models have usually estimated both returns and conditional volatility in financial assets. This paper is intended in the comparison of this traditional approach with the more recent Backpropagation neural network. When applied to the Spanish Ibex-35 stock market index, we find that the neural network achieved significantly better performance in predicting conditional volatility, but similar results when predicting financial returns.InterludeFacultad de Administración y Dirección de EmpresasDepartamento de Economía y Ciencias SocialesCentro de Investigación de Ingeniería EconómicaInstituto Universitario de Matemática Pura y AplicadaRepositorio Institucional de la Universitat Politècnica de València Riunet20122012-12-01journal articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfhttps://riunet.upv.es/handle/10251/60000reponame:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valénciainstname:Universitat Politècnica de València (UPV)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Reconocimiento (by)http://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:riunet.upv.es:10251/600002026-06-13T07:49:27Z
dc.title.none.fl_str_mv Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
title Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
spellingShingle Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
García García, Fernando|||0000-0001-6364-520X
Conditional volatility
Backpropagation neural network
GARCH-M
ECONOMIA FINANCIERA Y CONTABILIDAD
title_short Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
title_full Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
title_fullStr Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
title_full_unstemmed Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
title_sort Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
dc.creator.none.fl_str_mv García García, Fernando|||0000-0001-6364-520X
Guijarro, Francisco|||0000-0002-8803-5165
Moya Clemente, Ismael|||0000-0002-1219-1890
Oliver-Muncharaz, Javier|||0000-0001-5317-6489
author García García, Fernando|||0000-0001-6364-520X
author_facet García García, Fernando|||0000-0001-6364-520X
Guijarro, Francisco|||0000-0002-8803-5165
Moya Clemente, Ismael|||0000-0002-1219-1890
Oliver-Muncharaz, Javier|||0000-0001-5317-6489
author_role author
author2 Guijarro, Francisco|||0000-0002-8803-5165
Moya Clemente, Ismael|||0000-0002-1219-1890
Oliver-Muncharaz, Javier|||0000-0001-5317-6489
author2_role author
author
author
dc.contributor.none.fl_str_mv Facultad de Administración y Dirección de Empresas
Departamento de Economía y Ciencias Sociales
Centro de Investigación de Ingeniería Económica
Instituto Universitario de Matemática Pura y Aplicada
Repositorio Institucional de la Universitat Politècnica de València Riunet
dc.subject.none.fl_str_mv Conditional volatility
Backpropagation neural network
GARCH-M
ECONOMIA FINANCIERA Y CONTABILIDAD
topic Conditional volatility
Backpropagation neural network
GARCH-M
ECONOMIA FINANCIERA Y CONTABILIDAD
description Econometric models have usually estimated both returns and conditional volatility in financial assets. This paper is intended in the comparison of this traditional approach with the more recent Backpropagation neural network. When applied to the Spanish Ibex-35 stock market index, we find that the neural network achieved significantly better performance in predicting conditional volatility, but similar results when predicting financial returns.
publishDate 2012
dc.date.none.fl_str_mv 2012
2012-12-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://riunet.upv.es/handle/10251/60000
url https://riunet.upv.es/handle/10251/60000
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Reconocimiento (by)
http://creativecommons.org/licenses/by/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Reconocimiento (by)
http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Interlude
publisher.none.fl_str_mv Interlude
dc.source.none.fl_str_mv reponame:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname:Universitat Politècnica de València (UPV)
instname_str Universitat Politècnica de València (UPV)
reponame_str RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
collection RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,301603

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