Exchange Rate Volatility Forecasting by Hybrid Neural Network Markov Switching Beta-t-EGARCH
The motivation of this study is built from the previous research to find a way to enhance the forecast of advanced and emerging market currency volatilities. Given the exchange rate's nonlinear and time-varying characteristics, we introduce the neural networks (NN) approach to enhance the Marko...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2020-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/9261362/ |