Designing a model for forecasting the return of the stock index (with emphasis on neural network combined models and long-term memory models)

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NAJARZADEH REZA; ZOLFAGHARI MEHDI; Gholami Samad

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Journal: INVESTMENT KNOWLEDGE Year:2020 | Volume:9 | Issue:34 Page(s): 231-257

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Title

Designing a model for forecasting the return of the stock index (with emphasis on neural network combined models and long-term memory models)

Author(s)

NAJARZADEH REZA | ZOLFAGHARI MEHDI | Gholami Samad | Issue Writer Certificate

Keywords

Stock MarketQ1

PredictionQ2

GARCH FamilyQ1

Neural NetworkQ1

Hybrid ModelQ1

Abstract

This study presents the new hybrid network of GARCH Family and an artificial Neural Network to predict the Tehran Stock Exchange index during the period of 2008-2017. The existence of long-term memory in the conditional variance of the Tehran stock returns causes use in addition GARCH and EGARCH models with short-memory, long-term memory models. In addition to long-term memory models, considering the better performance of Hybrid Models in predicting financial data of the GARCH Family models (short and long-term) are combined with the artificial Neural Network. Using Hybrid Models the return of stock index was forecast for the next 10 days and its accuracy was evaluated using the evaluation criteria. The results showed that the hybrid FIEGARCH with the student-t distribution model was more efficient in forecasting return of stock and had a lower forecast error than others models.

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APA: Copy

NAJARZADEH, REZA, ZOLFAGHARI, MEHDI, & Gholami, Samad. (2020). Designing a model for forecasting the return of the stock index (with emphasis on neural network combined models and long-term memory models). INVESTMENT KNOWLEDGE, 9(34 ), 231-257. SID. https://sid.ir/paper/408942/en

Vancouver: Copy

NAJARZADEH REZA, ZOLFAGHARI MEHDI, Gholami Samad. Designing a model for forecasting the return of the stock index (with emphasis on neural network combined models and long-term memory models). INVESTMENT KNOWLEDGE[Internet]. 2020;9(34 ):231-257. Available from: https://sid.ir/paper/408942/en

IEEE: Copy

REZA NAJARZADEH, MEHDI ZOLFAGHARI, and Samad Gholami, “Designing a model for forecasting the return of the stock index (with emphasis on neural network combined models and long-term memory models),” INVESTMENT KNOWLEDGE, vol. 9, no. 34 , pp. 231–257, 2020, [Online]. Available: https://sid.ir/paper/408942/en

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