Verification of neural network models for forecasting the volatility of the WIG20 index rates of return during the COVID-19 pandemic Online publication date: Fri, 01-Mar-2024
by Emilia Fraszka-Sobczyk; Aleksandra Zakrzewska
International Journal of Applied Decision Sciences (IJADS), Vol. 17, No. 2, 2024
Abstract: The paper investigates the issue of the volatility of stock index returns on the Warsaw Stock Exchange (the WIG20 index returns volatility). The purpose of this review is to present an alternative neural network and to examine it to predict stock index returns according to the historical data. Finally, these predictions from the new neural network are compared with predictions based on a standard neural network MLP. In this article, the measurements for the best forecasting performance of neural networks are taken from commonly used forecast error measurements: mean error (ME), mean percentage error (MPE), mean absolute error (MAE), mean absolute percentage error (MAPE), root mean square error (RMSE), R (the correlation coefficient). The results show that the introduced neural network has good accuracy in measuring effectively the WIG20 index returns volatility.
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