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Artificial Neural Network Models for Forecasting Stock Price Index in the Bombay Stock Exchange

✍ Scribed by Dutta, Goutam (author);Jha, Pankaj (author);Laha, Arnab Kumar (author);Mohan, Neeraj (author)

Book ID
121648678
Publisher
SAGE Publications
Year
2006
Tongue
English
Weight
175 KB
Volume
5
Category
Article
ISSN
0972-6527

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## Abstract This paper provides an analysis of regime switching in volatility and out‐of‐sample forecasting of the Cyprus Stock Exchange by using daily data for the period 1996–2002. We first model volatility regime switching within a univariate Markov switching framework. Modelling stock returns w