A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange

Yasemin Deniz Akarım

Journal of Economics and Behavioral Studies, 2013, vol. 5, issue 3, 164-172

Abstract: This paper aims to compare the volatility forecasting performance of linear and nonlinear models for ISE-30 future index which is traded in Turkish Derivatives Exchangefor the period between 04.02.2005-17.06.2011. As a result of analyses, we conclude that ANN model has better forecasting performance than traditional ARCH-GARCH models. This result is important in many fields of finance such as investment decisions, asset pricing, portfolio allocation and risk management

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:rnd:arjebs:v:5:y:2013:i:3:p:164-172

DOI: 10.22610/jebs.v5i3.391

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