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Modelling and Forecasting Portfolio Inflows: A Comparative Study of Support Vector Regression, Artificial Neural Networks, and Structural VAR Models

Modelling and Forecasting Portfolio Inflows: A Comparative Study of Support Vector Regression, Artificial Neural Networks, and Structural VAR Models
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Author(s): Mogari I. Rapoo (North-West University, South Africa), Elias Munapo (North-West University, South Africa), Martin M. Chanza (North-West University, South Africa)and Olusegun Sunday Ewemooje (Federal University of Technology, Akure, Nigeria)
Copyright: 2022
Pages: 22
Source title: Research Anthology on Artificial Neural Network Applications
Source Author(s)/Editor(s): Information Resources Management Association (USA)
DOI: 10.4018/978-1-6684-2408-7.ch069

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Abstract

This chapter analyses efficiency of support vector regression (SVR), artificial neural networks (ANNs), and structural vector autoregressive (SVAR) models in terms of in-sample forecasting of portfolio inflows (PIs). Time series daily data sourced from Rand Merchant Bank (RMB) covering the period of 1st March 2004 to 1st February 2016 were used. Mean squared error, root mean squared error, mean absolute error, mean absolute squared error, and root mean scaled log error were used to evaluate model performance. The results showed that SVR has the best modelling performance when compared to others. In determining factors that affect allocation of PIs into South Africa based on SVAR, 69% of the variation was explained by pull factors while 9% was explained by push factor. Hence, SVR model is more accurate than ANNs. This chapter therefore recommends that banking sector particularly RMB should use machine learning technique in modelling PIs for a better financial solution.

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