Open AccessA Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange
Author(s) -
Yasemin Deniz Akarım
Publication year - 2013
Publication title -
journal of economics and behavioral studies
Language(s) - English
Resource type - Journals
ISSN - 2220-6140
DOI - 10.22610/jebs.v5i3.391
Subject(s) - volatility (finance) , econometrics , autoregressive conditional heteroskedasticity , economics , portfolio , index (typography) , project portfolio management , financial economics , nonlinear system , risk management , turkish , derivative (finance) , computer science , finance , linguistics , philosophy , physics , management , quantum mechanics , project management , world wide web
This paper aims to compare the volatility forecasting performance of linear and nonlinear models for ISE-30 future index which is traded in Turkish Derivatives Exchangefor the period between 04.02.2005-17.06.2011. As a result of analyses, we conclude that ANN model has better forecasting performance than traditional ARCH-GARCH models. This result is important in many fields of finance such as investment decisions, asset pricing, portfolio allocation and risk management