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 johnny cash style clothing neural network) model does not 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 click here data collected 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.