| Summary: | 碩士 === 萬能科技大學 === 經營管理研究所 === 99 === In this study, the advantages of the fuzzy time series and GARCH are combined to construct the Fuzzy-GARCH forecasting model. We use the Grape King stock price as empirical data to compare the forecast ability for models Fuzzy time series, GARCH and Fuzzy-GARCH. Three criteria of RMSE, MAE and MAPE are used to measure the forecasting ability of the provided three models. Total 502 records of the closing price of Grape King stock price collected from January 05, 2009 to December 31, 2010 are provided as sample data for the forecasting model.
This established model, the Fuzzy-GARCH (4, 9) with criteria, RMSE =599.8171, MAE =462.1431, MAPE = 0.968%, shows better the forecasting ability than the Fuzzy time series model and GARCH model in this study.
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