نتایج جستجو برای: ARCH/GARCH
تعداد نتایج: 2 فیلتر نتایج به سال:
We develop forecasting models based on the neural approach for the forecasting of the bond price time series provided by the VUB bank and make their comparisons of the forecast accuracy with the class of the statistical ARCH-GARCH models. There is a limited statistical or computer science theory on how to design the architecture of the RBF networks for some specific nonlinear financial or econo...
The Black-Scholes(BS) model has been widely and successfully used to model the return of asset and to price financial options. Despite of its success the basic assumptions of this model, that is, Brownian motion and normal distribution are not always supported by empirical studies. Those studies showed the two empirical phenomena: (1) the asymmetric leptokurtic features, (2) the volatility smil...
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