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Erschienen in:
2005 | OriginalPaper | Buchkapitel
An Empirical Study of Volatility Predictions: Stock Market Analysis Using Neural Networks
verfasst von : Bernard Fong, A. C. M. Fong, G. Y. Hong, Louisa Wong
Erschienen in: Internet and Network Economics
Verlag: Springer Berlin Heidelberg
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Volatility is one of the major factor that causes uncertainty in short term stock market movement. Empirical studies based on stock market data analysis were conducted to forecast the volatility for the implementation and evaluation of statistical models with neural network analysis. The model for prediction of Stock Exchange short term analysis uses neural networks for digital signal processing of filter bank computation. Our study shows that in the set of four stocks monitored, the model based on moving average analysis provides reasonably accurate volatility forecasts for a range of fifteen to twenty trading days.