期刊名称：Indian Journal of Computer Science and Engineering
印刷版ISSN：2231-3850
电子版ISSN：0976-5166
出版年度：2011
卷号：2
期号：1
页码：124-135
出版社：Engg Journals Publications
摘要：In the current study we examine the effects of interest rate changes on common stock returns of Greek banking sector. We examine the Generalized Autoregressive Heteroskedasticity (GARCH) process and an Adaptive Neuro-Fuzzy Inference System (ANFIS). The conclusions of our findings are that the changes of interest rates, based on GARCH model, are insignificant on common stock returns during the period we examine. On the other hand, with ANFIS we can get the rules and in each case we can have positive or negative effects depending on the conditions and the firing rules of inputs, which information is not possible to be retrieved with the traditional econometric modelling. Furthermore we examine the forecasting performance of both models and we conclude that ANFIS outperforms GARCH model in both in-sample and out-of-sample periods.
