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Předpovídání Realizované Volatility Pomocí Neuronových Sítí / Forecasting Realized Volatility Using Neural Networks

In this work, neural networks are used to forecast daily Realized Volatility of the EUR/USD, GBP/USD and USD/CHF currency pairs time series. Their performan-ce is benchmarked against nowadays popular Hetero-genous Autoregressive model of Realized Volatility (HAR) and traditional ARIMA models. As a by-product of our research, we introduce a simple yet effective enhancement to HAR model, naming the new model HARD extension. Forecasting performance tests of HARD model are conducted as well, promoting it to become a reference benchmark for neural networks and ARIMA.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:324960
Date January 2013
CreatorsJurkovič, Jindřich
ContributorsBaruník, Jozef, Krištoufek, Ladislav
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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