Title :
A Grey-Artificial Neural Network Stochastic Volatility Model for Return Volatility
Author :
Hsu, Ai-Chi ; Hsiao, Hsiao-Fen ; Yang, Shih-Jui
Author_Institution :
Dept. of Finance, Nat. Yunlin Univ. of Sci. & Technol. in Taiwan, Douliou, Taiwan
Abstract :
In this study, we develop a new concept of volatility models. The objective is to apply grey residual and artificial neural network into stochastic volatility to estimate return volatility.
Keywords :
Markov processes; Monte Carlo methods; financial management; grey systems; neural nets; stochastic processes; time series; Markov chain Monte Carlo method; artificial neural network; financial time series; grey residual; stochastic return volatility estimation model; theoretical finance; Artificial neural networks; Bayesian methods; Business communication; Equations; Finance; Hidden Markov models; Monte Carlo methods; Neural networks; Predictive models; Stochastic processes;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5301917
