Title :
The model of Grey-Markov forecasting based on volatility series and its application
Author :
Huang Shan-song ; Qian Wu-yong
Author_Institution :
Coll. of Econ. & Manage., Nanjing Univ. of Aeronaut. & Astronaut., Nanjing, China
Abstract :
Considering the problem that GM (1, 1) model has not-ideal predictive results, the Grey-Markov forecasting model is constructed based on the mechanism and characteristic of GM (1, 1) model and Markov forecasting model. GM (1, 1) model is used to describe the long-term developing trends as well as the Markov model ensures the transfer correlations between different statuses. Additionally, the Markov model can be employed to amend the prediction results of GM (1, 1), which can improve the prediction precision. Finally, the validity of this new model is shown with an instance analysis.
Keywords :
Markov processes; economic forecasting; grey systems; GM (1,1) model; Grey-Markov forecasting model; random volatility series; Computational modeling; Forecasting; Predictive models; GM (1,1) model; Markov Model; prediction introduction; random volatility series;
Conference_Titel :
Grey Systems and Intelligent Services (GSIS), 2011 IEEE International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-61284-490-9
DOI :
10.1109/GSIS.2011.6043988
