Financial Time series analysis (FTSA) is concerned with theory and practice of asset valuation over time. Generally, FTSA is useful for forecasting the asset volatility. This paper proposes the discrete S-Transform technique driven by Gaussian kernel for the estimation of volatility in FTSA. S-Transform is found to be a better tool in finding the time frequency resolution so as to predict and estimate the risk and returns of financial market. S-Transform prediction on two different bench mark data sets namely, Standard & Poor(S&P) 500 and Dow Jones Industrial Average(DJIA) index clearly indicates its superiority for the prediction of short and long-term trends in stock markets.
CITATION STYLE
Seethalakshmi, R., Rahul, R., & Vijayabanu, C. (2019). S-transform based analysis for stock market volatility estimation. International Journal of Innovative Technology and Exploring Engineering, 8(11), 3669–3675. https://doi.org/10.35940/ijitee.K1967.0981119
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