A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange

  • Yasemin Deniz Akarım

Abstract

This paper aims to compare the volatility forecasting performance of linear and nonlinear models for ISE-30 future index which is traded in Turkish Derivatives Exchangefor the period between 04.02.2005-17.06.2011. As a result of analyses, we conclude that ANN model has better forecasting performance than traditional ARCH-GARCH models. This result is important in many fields of finance such as investment decisions, asset pricing, portfolio allocation and risk management

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Published
2013-03-30
How to Cite
AkarımY. D. (2013). A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange. Journal of Economics and Behavioral Studies, 5(3), pp. 164-172. https://doi.org/10.22610/jebs.v5i3.391
Section
Research Paper