Analysis of Stock Volatility Clustering Using ANN

Manish Kumar, Santanu Das and Sneha Govil
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Manish Kumar: Indian Institute of Information Technology, Allahabad, India
Santanu Das: International Management Institute, Bhubaneswar, India
Sneha Govil: IBM, Allahabad, India

Information Resources Management Journal (IRMJ), 2015, vol. 28, issue 2, 32-45

Abstract: The model building theories broadly categorize the stock index forecasting models into two broad categories: Based on statistical theory consisting models such as Stochastic Volatility model (SV) and General Autoregressive Conditional Heteroskedasticity (GARCH) whereas other one based on artificial intelligence based models, such as artificial neural network (ANN), the support vector machine (SVM) and technique used for optimization such as particle swarm optimization (PSO). In existing literature, many of the statistical models when compared with artificial neural network models were outperformed by these models. This paper analyses stock volatility using ANN models as Multilayer perceptron with back propagation model and Radial Basis function.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:igg:rmj000:v:28:y:2015:i:2:p:32-45

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