Improving the Volatility Forecasts of GARCH Family Models with the Recurrent Neural Networks (Record no. 49745)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01721nam a2200265 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20180511151359.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 180511b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Sahoo,Amit |
| 9 (RLIN) | 31446 |
| 245 ## - TITLE STATEMENT | |
| Title | Improving the Volatility Forecasts of GARCH Family Models with the Recurrent Neural Networks |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 33-50 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | The primary objective of this paper is to develop a family of GARCH models, combining them with popular Recurrent Neural Network (RNN) models, which can capture the high nonlinear relationships between past return innovations and conditional variance, which is overlooked by standard GARCH models. The next objective is to apply Markov Switching GARCH model and see the differences in the predictive accuracy (according to AIC and BIG criteria and in two viewpoints: MSB and MAD) between the standard GARCH models, GJRGARCH model, RNN-GARCH models and Markov Switching GARCH model by comparing their out-of-sample forecasts. The dataset consists of a series of daily returns obtained from the National Stock Exchange (NSE) for the Indian Equity Markets. The results indicated that the proposed RNN-GARCH model and RNN-Markov Switching models are accurate and quick prediction methods. |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Volatility |
| Uncontrolled term | GARCH standard models |
| Uncontrolled term | GJR-GARCH model |
| Uncontrolled term | Markov Switching GARCH |
| Uncontrolled term | Artificial Neural Network (ANN) |
| Uncontrolled term | RNN-GARCH |
| Uncontrolled term | Conditional variance |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Garg, Aditya |
| 9 (RLIN) | 31447 |
| Personal name | Jangid, Jitendra |
| 9 (RLIN) | 31448 |
| Personal name | Chandra. Abhijeet |
| 9 (RLIN) | 31449 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 30426 |
| Host Itemnumber | 70141 |
| Main entry heading | MURTHY, E N |
| Place, publisher, and date of publication | IUP PUBLICATION HYDERABAD |
| Other item identifier | 5558566 |
| Title | COMPUTER SCIENCES |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 11/05/2018 | Vol 12, No 1/ 5558566JA2 | 5558566JA2 | 11/05/2018 | 11/05/2018 |