Forecasts of volatility models: fuzzy estimation approach

MaRDI QIDQ3182376zbMATH OpenFDO

Authors K. Thiagarajah

Publication date 8 October 2009

Full work available at URL http://pphmj.com/abstract/4205.htm

zbMATH Keywords

ARCHfuzzy forecastfuzzy parameterGARCHvolatility

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(9)

• Quantile forecasts for financial volatilities based on parametric and asymmetric models
• A comparative assessment of different fuzzy regression methods for volatility forecasting
• On an implicit assessment of fuzzy volatility in the Black and Scholes environment
• Fuzzy coefficient volatility (FCV) models with applications
• Estimation of flexible fuzzy GARCH models for conditional density estimation
• A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function
• Forecasting volatility in the presence of model instability
• Kurtosis of fuzzy coefficient GARCH models
• Approaches to forecasting volatility: Models and their performances for emerging equity markets

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