Prediction of High-frequency Data: Application to Exchange Rates Time Series
نویسندگان
چکیده
This paper considers the use of ANN methodology for parameters estimation of the autoregressive conditional heteroscedastic (ARCH) processes. The paper provides heuristic approach of ARCH processes modelling. This approach is often employed to estimate the values of financial variables as rates of return, exchange rates, means and variances of inflation, stock market returns and price indexes and also to predict their variances.
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