25th EANN 2024, 27 - 30 June 2024, Corfu, Greece

Evaluating forecast distributions in neural network HAR-type models for range-based volatility

Michele La Rocca, Cira Perna

Abstract:

  In this paper, we focus on a range-based measure for volatility and present a forecasting tool combining the heterogeneous autoregressive model with feed-forward neural networks. Using a bootstrap scheme, we can also obtain the forecast distributions, which are useful to evaluate how much uncertainty is associated with each point forecast. An application to real data shows a significant contribution of the proposed methodology to improving forecast accuracy in terms of point forecasts and forecast distributions.  

*** Title, author list and abstract as seen in the Camera-Ready version of the paper that was provided to Conference Committee. Small changes that may have occurred during processing by Springer may not appear in this window.