ISBIS4 Abstract

Contact Author's Name: Fahed Mostafa
Title of Abstract: Modelling Volatility with Mixture Density Networks
Author(s): Fahed Mostafa, Prof.Tharam Dillon
Affilliation: University of Technology Sydney

Abstract

Volatility is an important variable in financial forecasting. Forecasting volatility requires a development of a suitable model for it. In this paper, we examine a different time series models for volatility modelling. Specifically, we will study the use of recurrent mixture density networks, Garch and Egarch models to model volatility. In addition, we investigate the impact of different factors on the accuracy and completeness of each of these models.