Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008
to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … (MA), a recurrent NN and a parametric
GACH in terms of their ability to forecast financial markets volatility. The real … GARCH model provides good volatility forecast.
Conversely, some empirical studies show that GARCH model tends to give poor …