volatilityforecastingpackage: A Financial Volatility Package in Mathematica
The relevance of financial volatility forecasting in efficient decision making regarding risk-related assets cannot be subdued. In the financial world, asset price volatility plays a pivotal role in investment decision making and portfolio setups. The prediction of these volatilities usually deal wi...
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| Veröffentlicht in: | Computational economics 2024-06, Vol.63 (6), p.2307-2324 |
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| container_title | Computational economics |
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| creator | Khodabaccus, Noorshanaaz Saib, Aslam A. E. F. |
| description | The relevance of financial volatility forecasting in efficient decision making regarding risk-related assets cannot be subdued. In the financial world, asset price volatility plays a pivotal role in investment decision making and portfolio setups. The prediction of these volatilities usually deal with noisy and non-stationary data bearing heteroscedastic nature. This paper introduces the volatilityforecastingpackage for financial volatility modelling, forecasting and visualization using state-of-the art algorithms. This package allows recourse to algorithms through a user friendly interface supported by the Mathematica framework, that provides easy access to models for high and low frequency data, while accessibly generating forecasts, estimating errors and generating plots. The package also allows analysis of user data and based on the results, a set of models appropriate for the data is suggested for eventual use. |
| doi_str_mv | 10.1007/s10614-023-10406-2 |
| format | Article |
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| subjects | Algorithms Assets Behavioral/Experimental Economics Computer Appl. in Social and Behavioral Sciences Decision making Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Forecasting Investment decision Investments Machine learning Math Applications in Computer Science Operations Research/Decision Theory Software Stochastic models Time series Visualization Volatility |
| title | volatilityforecastingpackage: A Financial Volatility Package in Mathematica |
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