Abstract
Modeling and forecasting returns in the financial market are important issues in finance, they have a great importance especially for the investors, policy makers, banks, and others. The main objective of our paper is to compare the performance of the ARMA/GARCH model and the artificial neural networks (ANNs) to determine which model does a better performance in modeling Financial Returns in the Arab Republic of Egypt Market in the period from 01/01/2002 to 01/24/2011. The results showed that ANN model outperforms the ARMA/GARCH model in deviation performance criteria.