Fuzzy-GARCH Model for Forecasting the Grape King Stock Price
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....
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ndltd-TW-099VNU054570442015-10-13T20:52:04Z http://ndltd.ncl.edu.tw/handle/48146012971681746533 Fuzzy-GARCH Model for Forecasting the Grape King Stock Price 以模糊一般化自我迴歸條件變異數模型對葡萄王股價預測之研究 Yu-Wei Chang 張育偉 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. Yan-Kuen Wu 吳炎崑 2011 學位論文 ; thesis 93 zh-TW |
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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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Yan-Kuen Wu |
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Yan-Kuen Wu Yu-Wei Chang 張育偉 |
author |
Yu-Wei Chang 張育偉 |
spellingShingle |
Yu-Wei Chang 張育偉 Fuzzy-GARCH Model for Forecasting the Grape King Stock Price |
author_sort |
Yu-Wei Chang |
title |
Fuzzy-GARCH Model for Forecasting the Grape King Stock Price |
title_short |
Fuzzy-GARCH Model for Forecasting the Grape King Stock Price |
title_full |
Fuzzy-GARCH Model for Forecasting the Grape King Stock Price |
title_fullStr |
Fuzzy-GARCH Model for Forecasting the Grape King Stock Price |
title_full_unstemmed |
Fuzzy-GARCH Model for Forecasting the Grape King Stock Price |
title_sort |
fuzzy-garch model for forecasting the grape king stock price |
publishDate |
2011 |
url |
http://ndltd.ncl.edu.tw/handle/48146012971681746533 |
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