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 language | English |
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Pages (from-to) | 1833-1839 |
Number of pages | 7 |
Journal | Expert Systems With Applications |
Volume | 36 |
Issue number | 2 PART 1 |
DOIs | |
Publication status | Published - 2009 Mar |
All Science Journal Classification (ASJC) codes
- General Engineering
- Computer Science Applications
- Artificial Intelligence