Improving forecasts of the EGARCH model using artificial neural network and fuzzy inference system
type: Item
instance of: scholarly article
title: Improving forecasts of the EGARCH model using artificial neural network and fuzzy inference system
zbMATH Open document ID: 1497.62242
DOI: 10.1155/2020/6871396
author: Geleta T. Mohammed
author: Jane A. Aduda
author: Ananda O. Kube
published in: Journal of Mathematics
publication date: 2020-09-07T00:00:00Z
review text: Summary: This paper proposes an innovative \textit{semiparametric nonlinear fuzzy-EGARCH-ANN} model to solve the problem of accurate modeling for forecasting stock market volatility. This model has been developed by a combination of the FIS, ANN, and EGARCH models. Because the proposed model is highly nonlinear and gradient-based parameter estimation methods might not give global optimal parameters for highly nonlinear models, the study has decided to use evolutionary algorithms instead. In particular, a differential evolution (DE) algorithm is suggested to solve the parameter estimation problem of the proposed model. After this, the semiparametric nonlinear fuzzy-EGARCH-ANN model has been developed mathematically from the three models mentioned before, and the study has simulated data by it. After the simulation, parameter estimation of the proposed model using a differential evolution algorithm on the simulated data is done. Finally, it is seen that the proposed model is good in capturing the volatility clustering and leverage effects of highly nonlinear and complicated financial time series data that were overlooked by the EGARCH model.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M45
Mathematics Subject Classification ID: 62M86
Mathematics Subject Classification ID: 91G15
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7244134
zbMATH Keywords: stock market
zbMATH Keywords: fuzzy model
zbMATH Keywords: EGARCH-ANN model
describes a project that uses: FinTS
describes a project that uses: JADE
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1155/2020/6871396
OpenAlex ID: W3037335798
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Analysis of Financial Time Series
cites work: GARCH based artificial neural networks in forecasting conditional variance of stock returns
cites work: Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models
cites work: Artificial neural networks: an econometric perspective∗
cites work: Fuzzy sets
cites work: Q4888136
cites work: Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
Recommended article: Q4915497
Recommended article: Q4942551
Recommended article: Q3566052
Recommended article: Forecasting Short-Term and Medium-Term Time Series: A Comparison of Artificial Neural Networks and Fuzzy Models
Recommended article: A new hybrid artificial neural networks and fuzzy regression model for time series forecasting
Recommended article: Research on fuzzy modeling forecasting method based on stochastic neural network
Recommended article: Q3445594
Recommended article: Forecasting neural network-based fuzzy time series with different neural network models
description: scientific article; zbMATH DE number 7244134