This paper gives a tour through the empirical analysis of univariate GARCH models for financial time series with stops along the way to discuss various practical issues associated with model specification, estimation, diagnostic evaluation and forecasting.

Automatic teller machine (ATM) is one of the most popular banking facilities to do daily financial transactions. People use ATM services to pay bills, transfer funds and withdraw cash. Accurate ATM forecasting for the future is one of the most important attributes to forecast because business sector, daily needs of people are highly largely dependent on this. In recent years, Neural Networks ha...

Problem statement: Forecasting is simple; producing accurate forecasts is the essential task. Experience suggests that financial managers often assume that because models used in forecasting are appropriate that they are effective. This study addresses this assumption. Effective is taken to mean forecasts where the Absolute Percentage Error (APE) is equal to or less than 10%. It has been report...

The popularity of realized measures and various linear models for volatility forecasting has been the focus of attention in the literature addressing energy markets’ price variability over the past decade. However, there are no studies to help practitioners achieve optimal forecasting accuracy by guiding them to a specific estimator and model. This paper contributes to this literature in two wa...

Forecasting box-office receipts of a particular motion picture has intrigued many scholars and industry leaders as a difficult and challenging problem. In this study, we explore the use of neural networks in forecasting the financial performance of a movie at the boxoffice before its theatrical release. In our model, we convert the forecasting problem into a classification problem—rather than f...

The prices of financial futures contracts can be interpreted as forecasts of the spot rates, which will apply at the final delivery date of that contract. Financial futures contracts have been traded daily since the early 1980s and provide a substantial bank of data to test the forecasting efficiency of such contracts. Tests are carried out to examine whether the interest rates implied by the f...

Horizon-matched historical volatility is commonly used to forecast future volatility for option valuation under the Statement of Financial Accounting Standards 123R. In this paper, we empirically investigate the performance of using historical volatility to forecast long-term stock return volatility in comparison with a number of alternative forecasting methods. Analyzing forecasting errors and...

An important financial subject that has attracted researchers' attention for many years is forecasting stock return. Many researchers have contributed in this area of chaotic forecast in their ways. Among them data mining techniques have been successfully shown to generate high forecasting accuracy of stock price movement. Nowadays, instead of a single aspects of stock market, traders need...

I n 2003, the Meteorological Service of Canada (MSC) began a significant restructuring of its forecasting operations in response to financial pressures. Senior management proposed that the MSC could be made more cost effective while continuing to provide quality services by pursuing a more centralized forecasting approach and increasing the automation of forecasts via numerical weather predicti...