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Article:Volatility Estimation using Extreme-Value- Estimators & MLP model

by Dr. J. K. Mantri, Prof.P.Gahan
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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 10 - Number 6
Year of Publication: 2010
Authors: Dr. J. K. Mantri, Prof.P.Gahan
10.5120/1489-2006

Dr. J. K. Mantri, Prof.P.Gahan . Article:Volatility Estimation using Extreme-Value- Estimators & MLP model. International Journal of Computer Applications. 10, 6 ( November 2010), 1-4. DOI=10.5120/1489-2006

@article{ 10.5120/1489-2006,
author = { Dr. J. K. Mantri, Prof.P.Gahan },
title = { Article:Volatility Estimation using Extreme-Value- Estimators & MLP model },
journal = { International Journal of Computer Applications },
issue_date = { November 2010 },
volume = { 10 },
number = { 6 },
month = { November },
year = { 2010 },
issn = { 0975-8887 },
pages = { 1-4 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume10/number6/1489-2006/ },
doi = { 10.5120/1489-2006 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-06T19:59:00.360581+05:30
%A Dr. J. K. Mantri
%A Prof.P.Gahan
%T Article:Volatility Estimation using Extreme-Value- Estimators & MLP model
%J International Journal of Computer Applications
%@ 0975-8887
%V 10
%N 6
%P 1-4
%D 2010
%I Foundation of Computer Science (FCS), NY, USA
Abstract

Neural networks are the artificial intelligence techniques for modeling complex target functions. Now-a-days it has made remarkable contributions to advancement of various field of finance such as time series prediction, volatility estimation etc. The present work examines the volatilities in the Indian stock market (BSE-SENSEX & NSE-NIFTY) by comparing the volatilities, using Parkinson method, Roger Schell model, German Klass & ANN models. The work concludes that, there is no difference between the models in arriving at volatility in both the indices.

References
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Index Terms

Computer Science
Information Sciences

Keywords

Parkinson model German Klass model Roger Schell model MLP

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