论文信息 - Statistical models of KSE100 index using Hybrid Financial Systems

Statistical models of KSE100 index using Hybrid Financial Systems

This paper utilizes hybrid financial systems (HFSs) to model Karachi Stock Exchange index data, KSE100. These models are used for short-term forecasting of Karachi Stock Exchange index data, KSE100. These HFSs developed for this purpose are combination of artificial neural networks (ANN) model and ARIMA or ARCH/GARCH models. ARIMA and ARCH/GARCH models were provided as patterns to ANN. We compared ANN with ARIMA and ARCH/GARCH on the basis of forecast mean square of errors (FMSE), ANN gave better forecasting performance and out played ARIMA and ARCH/GARCH models. While comparing the performance of HFSs of ANNARIMA and ANNARCHGARCH/ with ANN model on the basis of FMSE, it is found that the HFS of ANNARCHGARCH/ is superior to ANN and ANNARIMA in forecasting

Ghulam Hussain | Samreen Fatima | Samreen Fatima | Ghulam Hussain

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