Forecasting exchange rates volatilities using artificial neural networks

被引：0
|
作者：
Bonilla, M [1 ]
Marco, P [1 ]
Olmeda, I [1 ]
机构：
[1] Univ Valencia, Dpto Econ Financiera & Matemat, E-46003 Valencia, Spain
来源：
FINANCIAL MODELLING | 2000年
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper employs Artificial Neural Networks to forecast volatilities of the exchange rates of six currencies against the Spanish peseta. First, we propose to use ANN as an alternative to parametric volatility models, then, we employ them as an aggregation procedure to build hybrid models. Though we do not find a systematic superiority of ANN, our results suggest that they are an interesting alternative to classical parametric volatility models.
引用
收藏
页码：57 / 68
页数：12
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