Comparison of the Forecasting of Financial Markets Volatility Using the Regression Model and Neural Network Model

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Khodayari Mohammad Azim; YaghobNejad Ahmad; KHALILI ARAGHI MARYAM

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Journal: Financial Economics Year:2020 | Volume:14 | Issue:52 Page(s): 223-240

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Information Journal Paper

Title

Comparison of the Forecasting of Financial Markets Volatility Using the Regression Model and Neural Network Model

Author(s)

Khodayari Mohammad Azim | YaghobNejad Ahmad | | KHALILI ARAGHI MARYAM | Issue Writer Certificate

Keywords

Market VolatilityQ1

InvestmentQ2

Neural NetworkQ2

Abstract

Volatility as an effective factor in determining Investment risk can play an important role in decision making of investors. An appropriate estimate of Market Volatility in an Investment period is an important starting point in Investment risk control. Volatility plays a key role in financial markets, so it needs to be recognized and calculated, and plans to manage Market Volatility that affect investors ' decision. Due to the importance of Market Volatility, the main objective of this research is to compare two methods before Market Volatility. The results of this research show that the combination of artificial Neural Network and financial ratios are capable to predict the volatility of capital Market Volatility and according to the total error of the model presented using Neural Network in this research has better performance in the forecasting of capital Market Volatility than linear regression.

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APA: Copy

Khodayari, Mohammad Azim, YaghobNejad, Ahmad, & KHALILI ARAGHI, MARYAM. (2020). Comparison of the Forecasting of Financial Markets Volatility Using the Regression Model and Neural Network Model. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 14(52 ), 223-240. SID. https://sid.ir/paper/369799/en

Vancouver: Copy

Khodayari Mohammad Azim, YaghobNejad Ahmad, KHALILI ARAGHI MARYAM. Comparison of the Forecasting of Financial Markets Volatility Using the Regression Model and Neural Network Model. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2020;14(52 ):223-240. Available from: https://sid.ir/paper/369799/en

IEEE: Copy

Mohammad Azim Khodayari, Ahmad YaghobNejad, and MARYAM KHALILI ARAGHI, “Comparison of the Forecasting of Financial Markets Volatility Using the Regression Model and Neural Network Model,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 14, no. 52 , pp. 223–240, 2020, [Online]. Available: https://sid.ir/paper/369799/en

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