A Novel Fuzzy Linear Regression Sliding Window GARCH Model for Time-Series Forecasting

A Novel Fuzzy Linear Regression Sliding Window GARCH Model for Time-Series Forecasting

Generalized autoregressive conditional heteroskedasticity (GARCH) is one of the most popular models for time-series forecasting. The GARCH model uses a maximum likelihood method for parameter estimation. For the likelihood method to work, there should be a known and specific distribution. However, d...

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Bibliographic Details
Main Authors: Amiratul L. Mohamad Hanapi, Mahmod Othman, Rajalingam Sokkalingam, Nazirah Ramli, Abdullah Husin, Pandian Vasant
Format: Article
Language:English
Published: MDPI AG 2020-03-01
Series:Applied Sciences
Subjects:
forecasting
fuzzy linear regression
fuzzy logic
sliding window
time series
Online Access:https://www.mdpi.com/2076-3417/10/6/1949

Internet

https://www.mdpi.com/2076-3417/10/6/1949

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