Modelling volatility with mixture density networks
| dc.contributor.author | Mostafa, Fahed | |
| dc.contributor.author | Dillon, Tharam S. | |
| dc.contributor.editor | X.T. Hu | |
| dc.contributor.editor | Q. Liu | |
| dc.date.accessioned | 2017-01-30T14:42:29Z | |
| dc.date.available | 2017-01-30T14:42:29Z | |
| dc.date.created | 2009-02-09T18:01:47Z | |
| dc.date.issued | 2008 | |
| dc.identifier.citation | Mostafa, Fahed and Dillon, Tharam. 2008. Modelling volatility with mixture density networks, in Hu, X.T. and Liu, Q. (ed), IEEE International Conference on Granular Computing, Aug 26 2008, pp. 501-505. Hangzhou, China: Institute of Electrical and Electronics Engineers (IEEE). | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/40416 | |
| dc.identifier.doi | 10.1109/GRC.2008.4664673 | |
| dc.description.abstract |
Volatility is an important variable in financial forecasting. Forecasting volatility requires a development of a suitable model for it. In this paper, we examine different time series models for volatility modelling. Specifically, we will study the use of recurrent mixture density networks, GARCH and EGARCH models to model volatility. In addition, we demonstrate the impact of different factors on the accuracy and completeness of each of these models. | |
| dc.publisher | Institute of Electrical and Electronics Engineers (IEEE) | |
| dc.title | Modelling volatility with mixture density networks | |
| dc.type | Conference Paper | |
| dcterms.source.startPage | 501 | |
| dcterms.source.endPage | 505 | |
| dcterms.source.title | Proceedings of the IEEE international conference on granular computing (GrC 2008) | |
| dcterms.source.series | Proceedings of the IEEE international conference on granular computing (GrC 2008) | |
| dcterms.source.isbn | 9781424425129 | |
| dcterms.source.conference | IEEE International Conference on Granular Computing (GrC 2008) | |
| dcterms.source.conference-start-date | 26 Aug 2008 | |
| dcterms.source.conferencelocation | Hangzhou, China | |
| dcterms.source.place | China | |
| curtin.note |
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| curtin.department | Centre for Extended Enterprises and Business Intelligence | |
| curtin.accessStatus | Open access | |
| curtin.faculty | Curtin Business School | |
| curtin.faculty | School of Economics and Finance |