Forecasting Volatility in Financial Markets

Hong Zhang · Shu Fang Li

151 citations0/0 files storedKey engineering materials

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stock Market Forecasting Methods Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

In this paper, we analyze the stock of Tsingtao Brewery Co Ltd for the 8-year period, from July 31, 2001, to September 11, 2009, a total of 2003 trading days. Using the False Nearest Neighbors method, we obtain the embedding dimension m in the k-nearest neighbour Algorithm. In order to investigate the validity of this method, we apply the modified method to the daily adjusted opening values of the Tsingtao Brewery Co Ltd. We find that the prediction of experimental results is more accurate than traditional methods.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 151 citations exist upstream.

References

2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 1996An evaluation of volatility forecasting techniques 2009Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Cited by

2009Stochastic Volatility: Origins and Overview 2010Estimation and pricing under long-memory stochastic volatility 2010Data-based ranking of realised volatility estimators 2003Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models 2011Spot and forward volatility in foreign exchange 2006There's more to volatility than volume 2011Forecasting exchange rate volatility using high-frequency data: Is the euro different?2022Trading volume and realized volatility forecasting: Evidence from the China stock market

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.