NDLI: Intelligent Threshhold Garch Model Applied to Stock Market of Transmissions that Volatility

Content Provider	IEEE Xplore Digital Library
Author	Jui-Chung Hung
Copyright Year	2007
Description	Author affiliation: Ling-Tung Univ., Taichung (Jui-Chung Hung)
Abstract	This paper considers that transmissions of volatility are time-vary and asymmetric. Generally, there are many and complex reasons that can affect transmissions of volatility such as good news and bad news, etc. In this situation, the model estimation is more difficult to solve and becomes a highly nonlinear with many local minima problem. For these reasons, we adopt the method of artificial intelligence to propose an ITGARCH (Intelligent Threshold Generalized Autoregression Conditional Heteroscedasticity) model. In this paper, we would modify the threshold value by using the rule of intelligent. The ITGARCH model, which combines the advantages of the GA (Genetic Algorithm) and Fuzzy theory to describing time-vary and asymmetric properties of volatility. The results indicate the transmission of volatility for stock markets are time- vary nonlinear and asymmetric. The transmissions of volatility in propose model is exactly performance.
Starting Page	1523
Ending Page	1528
File Size	362232
Page Count	6
File Format	PDF
ISBN	0769530389
DOI	10.1109/ICCIT.2007.366
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2007-11-21
Publisher Place	South Korea
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Data analysis Genetic mutations Encoding Electronic mail Econometrics Stock markets Artificial intelligence Information technology Genetic algorithms
Content Type	Text
Resource Type	Article

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