Adaptive Fuzzy Asymmetric GARCH Model Applied to Stock Market

Author

Hung, Jui-Chung ; Hsu, Fang-Yu

Author_Institution

Dept. of Inf. Technol., Ling Tung Univ., Taichung

Volume

1

fYear

2008

fDate

11-13 Nov. 2008

Firstpage

991

Lastpage

996

Abstract

In this paper we derive new application of a adaptive fuzzy control design method for asymmetric Generalized Autoregression Conditional Heteroscedasticity (GARCH) model. In generally the stock market transmissions of volatility are time-varying nonlinear and asymmetric models, that is, good news and band news. In this situation, we adopt the method of adaptive fuzzy control design for asymmetric GARCH model to modify the threshold value in asymmetric GARCH. A simulation is in the stock markets of Taiwan weight index given finally to illustrate the performance of proposed methods.

Keywords

adaptive control; fuzzy control; stock markets; adaptive fuzzy asymmetric GARCH model; adaptive fuzzy control; generalized autoregression conditional heteroscedasticity; stock market; Adaptive control; Algorithm design and analysis; Autoregressive processes; Design methodology; Econometrics; Fuzzy control; Information technology; Programmable control; Stock markets; Tail; GARCH; fuzzy; time-varying nonlinear model;

fLanguage

English

Publisher

ieee

Conference_Titel

Convergence and Hybrid Information Technology, 2008. ICCIT '08. Third International Conference on

Conference_Location

Busan

Print_ISBN

978-0-7695-3407-7

Type

conf

DOI

10.1109/ICCIT.2008.25

Filename

4682161