Title :
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
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;
Conference_Titel :
Convergence and Hybrid Information Technology, 2008. ICCIT '08. Third International Conference on
Conference_Location :
Busan
Print_ISBN :
978-0-7695-3407-7
DOI :
10.1109/ICCIT.2008.25
