NeuralNetworksforModelingandForecastingVolatilityofEconomicMarket

doi:10.3969/j.issn.1006-2475.2018.06.003

Abstract

Abstract: ThispaperpresentsaMarkovswitchingartificialneuralnetwork(HMM),whichisappliedtothevolatilitymodelingandpredictionofthegoldmarketintheeconomicmarket.Theproposedmodelsdifferintermsofboththedynamicsoftheconditionalvolatilityprocessandtheforecastingcapabilitiescomparedtotraditionalneuralnetworkmodels.Inthispaper,thesemodelsareusedtotestvolatilityofgoldreturn.MAE,MSEandRMSEareevaluatedandtheimprovedDieboldMarianotestiscarriedoutunderthesameprecision.Anempiricalapplicationisprovidedforforecastingdailyreturnsingoldmarket.Theresultssuggestthattheproposedapproachperformswellinmodelingandforecastingvolatilityindailyreturnsofinternationalgoldmarket.

Key words: artificialintelligence, neuralnetwork, economicmarket, volatility, Markov

CLC Number:

TP183

XIERong-yan. NeuralNetworksforModelingandForecastingVolatilityofEconomicMarket[J]. Computer and Modernization, 2018, 0(06): 12-.

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