Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days

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Tác giả: Zhengyang Chi, Junbin Gao, Chao Wang

Ngôn ngữ: eng

Ký hiệu phân loại: 525.63 Earth (Astronomical geography)

Thông tin xuất bản: 2024

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 204264

This study introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing the union of active trading days of different stock markets. The model employs a spatial-temporal graph neural network (GNN) architecture to capture the volatility spillover effect, where shocks in one market spread to others through the interconnective global economy. By calculating the volatility spillover index to depict the volatility network as graphs, the model effectively mirrors the volatility dynamics for the chosen stock market indices. In the empirical analysis, the proposed model surpasses the benchmark model in all forecasting scenarios and is shown to be sensitive to the underlying volatility interrelationships.
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