Volatility Estimation using Extreme-Value- Estimators & MLP model
نویسنده
چکیده
Neural networks are the artificial intelligence techniques for modeling complex target functions. Now-a-days it has made remarkable contributions to advancement of various field of finance such as time series prediction, volatility estimation etc. The present work examines the volatilities in the Indian stock market (BSE-SENSEX & NSE-NIFTY) by comparing the volatilities, using Parkinson method, Roger Schell model, German Klass & ANN models. The work concludes that, there is no difference between the models in arriving at volatility in both the indices. Reference Andrade, Chang, Tabak (2003) Tracking Brazilian Exchange Rate Volatility, Econometric
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