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Using a dynamic artificial neural network for forecasting the volatility of a financial time series.
dc.contributor.author | Velásquez, Juan D. | |
dc.contributor.author | Gutiérrez, Sarah | |
dc.contributor.author | Franco, Carlos J. | |
dc.date.accessioned | 2014-10-22T23:26:11Z | spa |
dc.date.available | 2014-10-22T23:26:11Z | spa |
dc.date.created | 2013-06-30 | |
dc.identifier.issn | 1692-3324 | |
dc.identifier.uri | http://hdl.handle.net/11407/962 | |
dc.description.abstract | The ability to obtain accurate volatility forecasts is an important issue for the financial analyst. In this paper, we use the DAN2 model, a multilayer perceptronand an ARCH model to predict the monthly conditional variance of stock prices.The results show that DAN2 model is more accurate for predicting in-sample andout-of-sample variance that the other considered models for the used data set. Thus, the value of this neural network as a predictive tool is demonstrated. | spa |
dc.format.medium | Electrónico | spa |
dc.format.mimetype | application/pdf | |
dc.language.iso | spa | |
dc.publisher | Universidad de Medellín | spa |
dc.relation.uri | http://revistas.udem.edu.co/index.php/ingenierias/article/view/637 | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/4.0/ | * |
dc.source | Revista Ingenierías Universidad de Medellín; Vol. 12, núm. 22 (2013) | spa |
dc.source | 2248-4094 | spa |
dc.source | 1692-3324 | spa |
dc.subject | Volatility forecast | spa |
dc.subject | prediction | spa |
dc.subject | nonlinear models | spa |
dc.subject | heteroskedasticity | spa |
dc.subject | volatilidad (finanzas) | spa |
dc.subject | modelos no lineales | spa |
dc.subject | heterocedasticidad | spa |
dc.title | Using a dynamic artificial neural network for forecasting the volatility of a financial time series. | spa |
dc.type | Article | eng |
dc.rights.accessrights | info:eu-repo/semantics/openAccess | |
dc.audience | Comunidad Universidad de Medellín | spa |
dc.publisher.faculty | Facultad de Ingenierías | spa |
dc.publisher.place | Medellín | spa |
dc.rights.creativecommons | Attribution-NonCommercial-ShareAlike 4.0 International | * |
dc.identifier.eissn | 2248-4094 | |
dc.type.coar | http://purl.org/coar/resource_type/c_6501 | |
dc.type.version | info:eu-repo/semantics/publishedVersion | |
dc.type.local | Artículo científico | spa |
dc.type.driver | info:eu-repo/semantics/article | |
dc.identifier.reponame | reponame:Repositorio Institucional Universidad de Medellín | spa |
dc.identifier.repourl | repourl:https://repository.udem.edu.co/ | |
dc.identifier.instname | instname:Universidad de Medellín | spa |
dc.relation.ispartofjournal | Revista Ingenierías Universidad de Medellín | spa |