Open AccessPerformance of a Novel Hybrid Model Through Simulation and Historical Financial Data
Author(s) -
Moazzem Hossain,
Mohd Tahir Ismail
Publication year - 2022
Publication title -
sains malaysiana
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.251
H-Index - 29
eISSN - 2735-0118
pISSN - 0126-6039
DOI - 10.17576/jsm-2022-5107-25
Subject(s) - autoregressive conditional heteroskedasticity , volatility (finance) , autoregressive model , econometrics , value at risk , benchmark (surveying) , volatility clustering , computer science , markov chain , downside risk , stochastic volatility , series (stratigraphy) , time series , economics , finance , risk management , machine learning , geography , portfolio , paleontology , geodesy , biology