Research Article
Article:Volatility Estimation using Extreme-Value- Estimators & MLP model
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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
|
| Volume 10 - Issue 6 |
| Published: November 2010 |
| Authors: Dr. J. K. Mantri, Prof.P.Gahan |
10.5120/1489-2006
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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 },
year = { 2010 },
volume = { 10 },
number = { 6 },
pages = { 1-4 },
doi = { 10.5120/1489-2006 },
publisher = { Foundation of Computer Science (FCS), NY, USA }
}
%0 Journal Article
%D 2010
%A Dr. J. K. Mantri
%A Prof.P.Gahan
%T Article:Volatility Estimation using Extreme-Value- Estimators & MLP model%T
%J International Journal of Computer Applications
%V 10
%N 6
%P 1-4
%R 10.5120/1489-2006
%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.
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