Garch model indentification using neural network
Main Article Content
صندلی اداریAbstract
Downloads
Article Details
1. Proposal of Policy for Free Access Periodics
Authors whom publish in this magazine should agree to the following terms:
a. Authors should keep the copyrights and grant to the magazine the right of the first publication, with the work simultaneously permitted under the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 that allows the sharing of the work with recognition of the authorship of the work and initial publication in this magazine.
b. Authors should have authorization for assuming additional contracts separately, for non-exclusive distribution of the version of the work published in this magazine (e.g.: to publish in an institutional repository or as book chapter), with recognition of authorship and initial publication in this magazine.
c. Authors should have permission and should be stimulated to publish and to distribute its work online (e.g.: in institutional repositories or its personal page) to any point before or during the publishing process, since this can generate productive alterations, as well as increasing the impact and the citation of the published work (See The Effect of Free Access).
Proposal of Policy for Periodic that offer Postponed Free Access
Authors whom publish in this magazine should agree to the following terms:
a. Authors should keep the copyrights and grant to the magazine the right of the first publication, with the work simultaneously permitted under the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 [SPECIFY TIME HERE] after the publication, allowing the sharing of the work with recognition of the authorship of the work and initial publication in this magazine.
b. Authors should have authorization for assuming additional contracts separately, for non-exclusive distribution of the version of the work published in this magazine (e.g.: to publish in institutional repository or as book chapter), with recognition of authorship and initial publication in this magazine.
c. Authors should have permission and should be stimulated to publish and to distribute its work online (e.g.: in institutional repositories or its personal page) to any point before or during the publishing process, since this can generate productive alterations, as well as increasing the impact and the citation of the published work (See The Effect of Free Access).
d. They allow some kind of open dissemination. Authors can disseminate their articles in open access, but with specific conditions imposed by the editor that are related to:
Version of the article that can be deposited in the repository:
Pre-print: before being reviewed by pairs.
Post-print: once reviewed by pairs, which can be:
The version of the author that has been accepted for publication.
The editor's version, that is, the article published in the magazine.
At which point the article can be made accessible in an open manner: before it is published in the magazine, immediately afterwards or if a period of seizure is required, which can range from six months to several years.
Where to leave open: on the author's personal web page, only departmental websites, the repository of the institution, the file of the research funding agency, among others.
References
BERNARDO, M. R.; FERNANDES, C. A. (1998) Utilização de Modelos não-lineares não-Gaussianos para Estimação de Volatilidade de Séries Temporais Financeiras. Dissertação (Graduação) – Pontifícia Universidade Católica do Rio de Janeiro.
BLACK, F.; SCHOLES, M. (1973) The pricing of options and corporate liabilities. Journal of Political Economy, n. 81, p. 637-59.
BOLLERSLEV, T. (1986) Generalized autorregressive conditional heteroskedasticity, Journal of Econometrics, n. 31, p. 303-327.
BOLLERSLEV, T.; ENGLE, R.; WOOLDRIDGE, J. (1988) A capital asset pricing model with time varying covariances. Journal of Political Economy, n. 96, p. 116-131.
BOX, G. E. P.; JENKINS, G. M. (1976) Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco.
CLARK, P. K. (1973) A subordinated Stochastic Process model with finite variance for speculative prices. Econometrica, n. 41, p. 135-155.
ENGLE, R. F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, v. 50, n 4, p. 987-1007.
ENGLE, R. F.; NG, V. K. (1993) Measuring and testing the impact of news on volatility. Journal of Finance, n. 48, p. 1749-1778.
FAMA, E. (1963) Mandelbrot and the Stable Paretian hypothesis. Journal of Business, n. 36, p. 420-429.
FAMA, E. (1965) The behavior of stock prices, Journal of Business, n. 47, p. 244-280.
FRANSES, P. H.; DIJK, D. V. (2000) Nonlinear time series models in empirical finance. Cambridge University Press.
GLOSTEN, L.; JAGANNATHAN, R.; RUNKLE, D. (1993) Relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, n. 48, p. 1779-1801.
HARVEY, A. C.; RUIZ, E.; SHEPHARD, N. (1994) Modeling Stochastic variance models. Review of Economic Studies, n. 61, p. 247-267.
HAYKIN, S. (1999) Neural networks: a comprehensive foundation. Prentice-Hall.
HULL, J.; WHITE, W. (1987) The pricing of options on assets with stochastic volatility. Journal of Finance, n. 42, p. 281-300.
MACHADO, M. A. S (2000) Auxílio à Idenficação de Modelo Box & Jenkins Usando Redes Neurais Nebulosas. Pesquisa Naval, n. 7, p. 49.
MANDELBROT, B. (1963) The variation of certain speculative prices. Journal of Business, n. 36, p. 394-419.
MORETTIN, P. A.; TOLOI, C. M. C. (2004) Análise de séries temporais. Edgard Blücher, São Paulo.
NELSON, D. (1991) Conditional heteroskedasticity in assets returns: a new approach. Econometrica, v. 59, n. 2, p. 347-370.
NELSON, D. B.; CAO, C. Q. (1992) Inequality constraints in the univariate GARCH model. Journal of Business and Economic Statistics, n. 10, p. 229-235.
RABEMANANJARA, R.; ZAKOIAN, J. M. (1993) Threshold ARCH models and asymmetries in volatility, Journal of Applied Econometrics, n. 8, p. 31-49.
REYNOLDS, B.; STEVENS, T.; MELLICHAMP, R.; SMITH, M. J. (1995) Box-Jenkins Forecast Model Identification, A.I. Expert.
SILVA, L. M. (2005) Uma aplicação de Árvores de Decisão, Redes Neurais e KNN para a Identificação de Modelos ARMA não Sazonais e Sazonais. Tese de Doutorado em Engenharia Elétrica – Pontifícia Universidade Católica do Rio de Janeiro.
TAUCHEN, G. E.; PITTS, M. (1983) The price variability-volume relationship on speculative markets. Econometrica, n. 51, p. 485-505.
TAYLOR, S. J. (1980) Conjectured models for trend in financial prices, tests and forecast. Journal of the Royal Statistical Society, Series A, n. 143, p. 338-362.
TAYLOR, S. J. (1986) Modeling Financial Time Series. New York: John Wiley.
TAYLOR, S. J. (1994) Modeling Stochastic Volatility. Mathematical Finance, n. 4, p. 183-204.
VEIGA FILHO, A. L.; FERNANDES, C. A. C.; BAIDYA, T. (1993) Medidas de Volatilidade para Opções, XXV SBPO/SOBRAPO, n. 1, p. 185-187.
ZAKOIAN, J. M. (1991) Threshold heteroskedastic models, Technical report, INSEE.