Improving forecasts of the EGARCH model using artificial neural network and fuzzy inference system

DOI10.1155/2020/6871396zbMATH Open1497.62242OpenAlexW3037335798MaRDI QIDQ2194682FDOQ2194682

Authors Geleta T. Mohammed, Jane A. Aduda, Ananda O. Kube 

Publication date 7 September 2020

Published in Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2020/6871396

zbMATH Keywords

fuzzy modelstock marketEGARCH-ANN model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Neural nets and related approaches to inference from stochastic processes (62M45) Inference from stochastic processes and fuzziness (62M86) Financial markets (91G15)

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Cites Work

• scientific article; zbMATH DE number 909506 (Why is no real title available?)
• Analysis of Financial Time Series
• Artificial neural networks: an econometric perspective^∗
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Fuzzy sets
• GARCH based artificial neural networks in forecasting conditional variance of stock returns
• Generalized autoregressive conditional heteroscedasticity
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models

Cited In (8)

• Hybrid model for stock market volatility
• Applying nonlinear generalized autoregressive conditional heteroscedasticity to compensate ANFIS outputs tuned by adaptive support vector regression
• Estimation of flexible fuzzy GARCH models for conditional density estimation
• Adaptive fuzzy system to forecast financial time series volatility
• A new adaptive network-based fuzzy inference system with adaptive adjustment rules for stock market volatility forecasting
• Portfolio optimization based on artificial neural network and GARCH-EVT-copula models
• FORECASTING HIGH-FREQUENCY FINANCIAL DATA VOLATILITY VIA NONPARAMETRIC ALGORITHMS: EVIDENCE FROM TAIWAN'S FINANCIAL MARKETS
• A differential harmony search based hybrid interval type2 fuzzy EGARCH model for stock market volatility prediction

Uses Software

• FinTS
• JADE

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