Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model

Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model

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This work shown as the fuzzy-EGARCH-ANN (fuzzy-exponential generalized autoregressive conditional heteroscedastic-artificial neural network) model does not click here require continuous model calibration if the corresponding DE algorithm is used appropriately, but other models such as GARCH, EGARCH, and EGARCH-ANN need continuous model calibration and validation so they fit the data and reality very well up to the desired accuracy.Also, a robust analysis of volatility forecasting of the daily S&P 500 data collected michael harris sunglasses from Yahoo Finance for the daily spanning period 1/3/2006 to 20/2/2020.To our knowledge, this is the first study that focuses on the daily S&P 500 data using high-frequency data and the fuzzy-EGARCH-ANN econometric model.Finally, the research finds that the best performing model in terms of one-step-ahead forecasts based on realized volatility computed from the underlying daily data series is the fuzzy-EGARCH-ANN (1,1,2,1) model with Student’s t-distribution.