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  • 标题:Sistemas adaptativos de inferencia neurodifusa con errores heterocedásticos para el modelado de series financieras
  • 本地全文:下载
  • 作者:Elizabeth Catalina Zapata Gómez ; Juan David Velásquez Henao ; Ricardo Agustín Smith Quintero
  • 期刊名称:Cuadernos de Administración
  • 印刷版ISSN:1900-7205
  • 出版年度:2008
  • 卷号:21
  • 期号:37
  • 语种:Spanish
  • 出版社:Pontificia Universidad Javeriana
  • 摘要:This paper proposes a new kind of non-linear hybrid model. In the proposed model, mean non-linearity is represented by using an adaptive neuro-fuzzy inference system (ANFIS) whereas variance is represented using a conditional self-regressive heteroscedastic component. The mathematical formula for this type of model is shown and a method to estimate it is proposed. In addition, a specification strategy is developed for the proposed model, based on a battery of statistical soft transaction regression (STR) tests and on verosimility radius testing. As a case study, the IBM stock closing price series dynamics were modeled, which is commonly used as a benchmark in the literature on time series. Results indicate that the model developed represents the dynamics of the studied series better than other models with similar characteristics.
  • 其他摘要:This paper proposes a new kind of non-linear hybrid model. In the proposed model, mean non-linearity is represented by using an adaptive neuro-fuzzy inference system (ANFIS) whereas variance is represented using a conditional self-regressive heteroscedastic component. The mathematical formula for this type of model is shown and a method to estimate it is proposed. In addition, a specification strategy is developed for the proposed model, based on a battery of statistical soft transaction regression (STR) tests and on verosimility radius testing. As a case study, the IBM stock closing price series dynamics were modeled, which is commonly used as a benchmark in the literature on time series. Results indicate that the model developed represents the dynamics of the studied series better than other models with similar characteristics.
  • 关键词:ANFIS;ARCH;heteroscedasticity;time series;non-linear models;ANFIS;ARCH;heterocedasticidad;series temporales;modelos no lineales;ANFIS;ARCH;hetere cedasticidade;séries temporais;modelos não lineais
  • 其他关键词:ANFIS; ARCH; heteroscedasticity; time series; non-linear models
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