Ordered Fuzzy GARCH Model for Volatility Forecasting
Authors:
- Adam Marszałek,
- Tadeusz Burczyński
Abstract
A volatility forecasting comparative study between the most popular original GARCH model and the same model defined based on concepts of Ordered Fuzzy Numbers and Ordered Fuzzy Candlsticks is presented. These approaches offer a suitable tool to handle both imprecision of measurements and uncertainty associated with financial data. Therefore, they are particularly useful for volatility forecasting, since the volatility is unobservable and a proxy for it is used (realised volatility). In presented study, based on intra-daily data of theWarsaw Stock Exchange Top 20 Index (WIG 20), one showed that based on the adjusted-R squared and several prediction measurements, the fuzzy approach does perform better than the original GARCH model and forecasts more precisely in both the in-sample and out-of-sample predictions.
- Record ID
- CUT27d36884bd724244b28c905577def1f5
- Publication categories
- ; ;
- Author
- Pages
- 480-492
- Other elements of collation
- tab.; wykr.; Bibliografia (na s.) - 491-492; Bibliografia (liczba pozycji) - 23; Oznaczenie streszczenia - Abstr.
- Book
- Kacprzyk Janusz, Janusz Kacprzyk Szmidt Eulalia, Eulalia Szmidt Zadrożny Slawomir Slawomir Zadrożny [et al.] (eds.): Advances in Fuzzy Logic and Technology 2017 : Proceedings of: EUSFLAT- 2017 - The 10th Conference of the European Society for Fuzzy Logic and Technology, September 11-15, 2017, Warsaw, Poland IWIFSGN'2017 - The Sixteenth International Workshop on Intuitionistic Fuzzy Sets and Generalized Nets, September 13-15, 2017, Warsaw, Poland. Vol. 2, Advances in Intelligent Systems and Computing, no. 642, 2018, Cham, Springer, Springer, ISBN 978-3-319-66823-9 (print)
- Keywords in English
- volatility forecasting, realized volatility, ordered fuzzy number, Kosinski’s fuzzy number, ordered fuzzy candlestick, ordered fuzzy GARCH model, financial high-frequency data
- DOI
- DOI:10.1007/978-3-319-66824-6_42 Opening in a new tab
- URL
- https://link.springer.com/book/10.1007/978-3-319-66824-6 Opening in a new tab
- Language
- eng (en) English
- Score (nominal)
- 20
- Additional fields
- Indeksowana w: Web of Science, Scopus
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUT27d36884bd724244b28c905577def1f5/
- URN
urn:pkr-prod:CUT27d36884bd724244b28c905577def1f5
* presented citation count is obtained through Internet information analysis, and it is close to the number calculated by the Publish or PerishOpening in a new tab system.