MARC details
| 000 -LEADER |
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| fixed length control field |
01685nam a22002297a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20160616183031.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
160616b xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Vejendla, Ajitha |
| 9 (RLIN) |
22975 |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Evaluation of garch, rnn and fnn models for forecasting volatility in the financial markets. |
| Statement of responsibility, etc |
Ajitha Vejendla and David Enke, |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Hydrabad |
| Name of publisher, distributor, etc |
IUP Publications |
| Date of publication, distribution, etc |
March 2013 |
| 500 ## - GENERAL NOTE |
|---|
| General note |
olatility forecasting is an important task for those associated with the financial markets, and has occupied the attention of academics and practitioners over the last two decades. This research paper reflects the importance of volatility in option pricing, security valuation and risk management. It investigates the forecasting ability of Feed-Forward Neural Networks (FNN) using backpropagation learning, Recurrent Neural Networks (RNN), and a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model based on empirical price and historical volatility data. The performance of the three models is studied and compared using data of S&P 500, DJIA, NYSE and NASDAQ indexes. The results obtained from these selected models are anticipated to have significant market directional ability and lower prediction errors. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Securities Market |
| 9 (RLIN) |
22977 |
|
|---|
| Topical term or geographic name as entry element |
Volaties Market |
| 9 (RLIN) |
22979 |
|
|---|
| Topical term or geographic name as entry element |
Market Pricing |
| 9 (RLIN) |
22981 |
|
|---|
| Topical term or geographic name as entry element |
Risk Management in Business |
| 9 (RLIN) |
22983 |
|
|---|
| Topical term or geographic name as entry element |
Neural networks (Computer science) |
| 9 (RLIN) |
22985 |
|
|---|
| Topical term or geographic name as entry element |
GARCH model |
| 9 (RLIN) |
22987 |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Enke, David |
| 9 (RLIN) |
22989 |
| 773 0# - HOST ITEM ENTRY |
|---|
| Host Biblionumber |
30419 |
| Host Itemnumber |
32180 |
| Main entry heading |
MURTHY, E N |
| Place, publisher, and date of publication |
IUP PUBLICATION HYDEARABAD |
| Other item identifier |
555773 |
| Title |
FINANCIAL RISK MANAGEMENT |
| International Standard Serial Number |
0972-916X |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Journal Article |
