• Corpus ID: 239016302

Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks

@article{Nybo2021SectorVP,
  title={Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks},
  author={Curtis Nybo},
  journal={ArXiv},
  year={2021},
  volume={abs/2110.09489}
}
  • Curtis Nybo
  • Published 18 October 2021
  • Computer Science, Economics
  • ArXiv
Recently neural networks (ANNs) have seen success in volatility prediction, but the literature is divided on where an ANN should be used rather than the common GARCH model. The purpose of this study is to compare the volatility prediction performance of ANN and GARCH models when applied to stocks with low, medium, and high volatility profiles. This approach intends to identify which model should be used for each case. The volatility profiles comprise of five sectors that cover all stocks in the… 

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