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A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange

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  • Yasemin Deniz Akarım

Abstract

This paper aims to compare the volatility forecasting performance of linear and nonlinear models for ISE-30 future index which is traded in Turkish Derivatives Exchangefor the period between 04.02.2005-17.06.2011. As a result of analyses, we conclude that ANN model has better forecasting performance than traditional ARCH-GARCH models. This result is important in many fields of finance such as investment decisions, asset pricing, portfolio allocation and risk management

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  • Yasemin Deniz Akarım, 2013. "A Comparison of Linear and Nonlinear Models in Forecasting Market Risk: The Evidence from Turkish Derivative Exchange," Journal of Economics and Behavioral Studies, AMH International, vol. 5(3), pages 164-172.
    • Handle: RePEc:rnd:arjebs:v:5:y:2013:i:3:p:164-172
    DOI: 10.22610/jebs.v5i3.391
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