Volatility of main metals forecasted by a hybrid ANN-GARCH model with regressors

作者：

Highlights：

• A hybrid model is analyzed to predict the price volatility of gold, silver and copper

• The hybrid model used is a ANN-GARCH model with regressors.

• APGARCH with exogenous variables is used as benchmark.

• The benchmark is better than the classical GARCH used in previous studies.

• The incorporation of ANN into the best Garch with regressors increases the accuracy.

摘要

•A hybrid model is analyzed to predict the price volatility of gold, silver and copper•The hybrid model used is a ANN-GARCH model with regressors.•APGARCH with exogenous variables is used as benchmark.•The benchmark is better than the classical GARCH used in previous studies.•The incorporation of ANN into the best Garch with regressors increases the accuracy.

论文关键词：ANN-GARCH,GARCH models,Volatility prediction,Gold,Silver,Copper

论文评审过程：Received 8 March 2017, Revised 14 April 2017, Accepted 9 May 2017, Available online 10 May 2017, Version of Record 16 May 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.05.024