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
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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)
Cites Work
- Analysis of Financial Time Series
- Generalized autoregressive conditional heteroscedasticity
- 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
- Title not available (Why is that?)
- Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models
- GARCH based artificial neural networks in forecasting conditional variance of stock returns
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
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