Journal of Multinational Financial Management, Vol. 18, No. 5, pp. 477-487, 2008
Posted: 30 Jul 2011
Date Written: November 26, 2007
This paper analyzes recursive and rolling neural network models to forecast one-step-ahead sign variations in gold price. Different combinations of techniques and sample sizes are studied for feed forward and ward neural networks. The results shows the rolling ward networks exceed the recursive ward networks and feed forward networks in forecasting gold price sign variation. The results support the use of neural networks with a dynamic framework to forecast the gold price sign variations, recalculating the weights of the network on a period-by-period basis, through a rolling process. Our results are validated using the block bootstrap methodology with an average sign prediction of 60.68% with a standard deviation of 2.82% for the rolling ward net.
Keywords: Recursive operation; Rolling operation; Artificial neural networks
JEL Classification: G10; G14; G15
Suggested Citation: Suggested Citation
Parisi, Antonino and Parisi, Franco and Diaz, David, Forecasting Gold Price Changes: Rolling and Recursive Neural Network Models (November 26, 2007). Journal of Multinational Financial Management, Vol. 18, No. 5, pp. 477-487, 2008. Available at SSRN: https://ssrn.com/abstract=1898700