New hybrid methodology for stock volatility prediction

Chih Hsiung Tseng, Sheng Tzong Cheng, Yi Hsien Wang

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)

Abstract

Modeling and forecasting stock market volatility have received considerable attention by both academics and practitioners. Hence, this paper presents integrated model to improve the variance forecasting ability in variance as compared to the traditional GARCH. Overall, the results show that the new integrated model can enhance the volatility forecasting ability of the traditional GARCH.

Original languageEnglish
Pages (from-to)1833-1839
Number of pages7
JournalExpert Systems With Applications
Volume36
Issue number2 PART 1
DOIs
Publication statusPublished - 2009 Mar

All Science Journal Classification (ASJC) codes

  • Engineering(all)
  • Computer Science Applications
  • Artificial Intelligence

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