A hybrid ARIMA-EGARCH and Artificial Neural Network model in stock market forecasting: evidence for India and the USA

A hybrid ARIMA-EGARCH and Artificial Neural Network model in stock market forecasting: evidence... This study develops a hybrid model that combines Autoregressive Integrated Moving Average (ARIMA), Exponential GARCH (EGARCH) and Artificial Neural Network (ANN) to predict the daily returns of S&P CNX Nifty and S&P 500 indices by modifying Zhang’s (2003) approach. The performance of the hybrid ARIMA-EGARCH-ANN model is benchmarked against the ARIMA-EGARCH and ANN models. The empirical evidence provides superiority of the hybrid ARIMA-EGARCH-ANN model in terms of the traditional forecasting accuracy measures and Sign and directional change and delivers consistent results for the two time series. This endorses hybrid model robustness and provides its practical use in formulating a strategy for trading in the S&P 500 and Nifty indices. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Business and Emerging Markets Inderscience Publishers

A hybrid ARIMA-EGARCH and Artificial Neural Network model in stock market forecasting: evidence for India and the USA

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Publisher
Inderscience Publishers
Copyright
Copyright © Inderscience Enterprises Ltd. All rights reserved
ISSN
1753-6219
eISSN
1753-6227
D.O.I.
10.1504/IJBEM.2012.046241
Publisher site
See Article on Publisher Site

Abstract

This study develops a hybrid model that combines Autoregressive Integrated Moving Average (ARIMA), Exponential GARCH (EGARCH) and Artificial Neural Network (ANN) to predict the daily returns of S&P CNX Nifty and S&P 500 indices by modifying Zhang’s (2003) approach. The performance of the hybrid ARIMA-EGARCH-ANN model is benchmarked against the ARIMA-EGARCH and ANN models. The empirical evidence provides superiority of the hybrid ARIMA-EGARCH-ANN model in terms of the traditional forecasting accuracy measures and Sign and directional change and delivers consistent results for the two time series. This endorses hybrid model robustness and provides its practical use in formulating a strategy for trading in the S&P 500 and Nifty indices.

Journal

International Journal of Business and Emerging MarketsInderscience Publishers

Published: Jan 1, 2012

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