6533b86ffe1ef96bd12ce681

RESEARCH PRODUCT

Forecasting Exchange Rates Volatilities Using Artificial Neural Networks

María BonillaIgnacio OlmedaPaulina Marco

subject

Exchange rateArtificial neural networkComputer scienceFinancial economicsExchange rate volatilityComputer Science::Neural and Evolutionary ComputationEconometricsVolatility (finance)Parametric statistics

description

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.

yearjournalcountryeditionlanguage
2000-01-01
https://doi.org/10.1007/978-3-642-57652-2_4