A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis

作者：

Highlights：

• A hybrid model is analyzed to predict the price volatility of Bitcoin.

• The hybrid model used is an ANN-GARCH model with PCA preprocessing.

• The technical analysis indexes are used as input data.

• The incorporation PCA preprocessing increases the accuracy of the hybrid model.

• An analysis of cryptocurrency.

摘要

•A hybrid model is analyzed to predict the price volatility of Bitcoin.•The hybrid model used is an ANN-GARCH model with PCA preprocessing.•The technical analysis indexes are used as input data.•The incorporation PCA preprocessing increases the accuracy of the hybrid model.•An analysis of cryptocurrency.

论文关键词：

论文评审过程：Received 22 November 2017, Revised 17 April 2018, Accepted 10 May 2018, Available online 12 May 2018, Version of Record 22 May 2018.

论文官网地址：https://doi.org/10.1016/j.eswa.2018.05.011