Event(s) on October 2021

• Wednesday, 27th October, 2021

  Title:	Volatility Forecasting with Econometric and Neuron Network Models
  Speaker:	Mr WONG Kin Hang Joe, Department of Mathematics, Hong Kong Baptist University, Hong Kong
  Time/Place:	10:00  -  11:30 Zoom, Meeting ID: 943 8549 5683 Password: 931944
  Abstract:	This study examines and compares the volatility forecasting performance of econometric models and neural network model in order to understand the common practice of having natural logarithm in econometric models, whereas the forecasting model of neural network models which does not have, could impact the results of the volatility prediction in a neural network model having the same practice. With a constraint of same input and output parameters in both models of different number of training data points to build and test the models, both neural network model and econometric model having natural logarithm ended up with a better performance measured in MSE.

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