Designing a Model for Forecasting the Stock Exchange Total Index Returns (Emphasizing on Combined Deep Learning Network Models and GARCH Family Models)

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ZOLFAGHARI MEHDI; SAHABI BAHRAM; Bakhtyaran Mohamad javad

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:42 Page(s): 138-171

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Title

Designing a Model for Forecasting the Stock Exchange Total Index Returns (Emphasizing on Combined Deep Learning Network Models and GARCH Family Models)

Author(s)

ZOLFAGHARI MEHDI | SAHABI BAHRAM | Bakhtyaran Mohamad javad | Issue Writer Certificate

Keywords

Stock Exchange IndexQ1

forecastingQ2

GARCH FamilyQ1

Deep Learning NetworkQ1

Abstract

Given the development of machine learning models in predicting financial data in recent years, this study introduces a combination of Deep Learning Network and selected GARCH Family models to predict short-term daily returns of the Tehran Stock Exchange Index. The most important feature of the Deep Learning Network is that it can adapt and adjust itself to the volatility of market variables without being limited to specific models. In this study, short-term and long-term memory based neural network (RNN-LSTM) models are used for Deep Learning Network models and GARCH and EGARCH models are used in its structure. Also, the two independent variables of oil price and dollar rate in the structure of the hybrid model help to predict the financial data more accurately. Comparison of the results of hybrid model prediction error with individual models shows that the RNN-LSTM-EGARCH hybrid model has higher prediction accuracy than competing models. competing models.

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APA: Copy

ZOLFAGHARI, MEHDI, SAHABI, BAHRAM, & Bakhtyaran, Mohamad javad. (2020). Designing a Model for Forecasting the Stock Exchange Total Index Returns (Emphasizing on Combined Deep Learning Network Models and GARCH Family Models). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(42 ), 138-171. SID. https://sid.ir/paper/396723/en

Vancouver: Copy

ZOLFAGHARI MEHDI, SAHABI BAHRAM, Bakhtyaran Mohamad javad. Designing a Model for Forecasting the Stock Exchange Total Index Returns (Emphasizing on Combined Deep Learning Network Models and GARCH Family Models). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(42 ):138-171. Available from: https://sid.ir/paper/396723/en

IEEE: Copy

MEHDI ZOLFAGHARI, BAHRAM SAHABI, and Mohamad javad Bakhtyaran, “Designing a Model for Forecasting the Stock Exchange Total Index Returns (Emphasizing on Combined Deep Learning Network Models and GARCH Family Models),” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 42 , pp. 138–171, 2020, [Online]. Available: https://sid.ir/paper/396723/en

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