文章基本信息

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 等
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