Using neural networks for forecasting volatility of S&P 500 Index futures prices

Shaikh A. Hamid; Zahid Iqbal

doi:10.1016/S0148-2963(03)00043-2

Using neural networks for forecasting volatility of S&P 500 Index futures prices

Shaikh A. Hamid
, Zahid Iqbal

Finance & Accounting

Southern New Hampshire University

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	1116-1125
Number of pages	10
Journal	Journal of Business Research
Volume	57
Issue number	10
DOIs	https://doi.org/10.1016/S0148-2963(03)00043-2
State	Published - Oct 2004

ASJC Scopus Subject Areas

Marketing

Keywords

Implied standard deviation
Neural networks
Realized standard deviation
Volatility forecasting

Access to Document

10.1016/S0148-2963(03)00043-2

Cite this

@article{53039ae93b0c4be9a7d5c2fd4796d0f6,

title = "Using neural networks for forecasting volatility of S\&P 500 Index futures prices",

keywords = "Implied standard deviation, Neural networks, Realized standard deviation, Volatility forecasting",

author = "Hamid, \{Shaikh A.\} and Zahid Iqbal",

year = "2004",

month = oct,

doi = "10.1016/S0148-2963(03)00043-2",

language = "English",

volume = "57",

pages = "1116--1125",

journal = "Journal of Business Research",

issn = "0148-2963",

number = "10",

}

TY - JOUR

T1 - Using neural networks for forecasting volatility of S&P 500 Index futures prices

AU - Hamid, Shaikh A.

AU - Iqbal, Zahid

PY - 2004/10

Y1 - 2004/10

KW - Implied standard deviation

KW - Neural networks

KW - Realized standard deviation

KW - Volatility forecasting

UR - https://www.scopus.com/pages/publications/4444303978

UR - https://www.scopus.com/pages/publications/4444303978#tab=citedBy

U2 - 10.1016/S0148-2963(03)00043-2

DO - 10.1016/S0148-2963(03)00043-2

M3 - Article

AN - SCOPUS:4444303978

SN - 0148-2963

VL - 57

SP - 1116

EP - 1125

JO - Journal of Business Research

JF - Journal of Business Research

IS - 10

ER -

Using neural networks for forecasting volatility of S&P 500 Index futures prices

ASJC Scopus Subject Areas

Keywords

Access to Document

Other files and links

Cite this