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Novel Prediction Approach – Quantum-Minimum Adaptation to ANFIS Outputs and Nonlinear Generalized Autoregressive Conditional Heteroscedasticity

  • Bao Rong Chang
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4223)

Abstract

Volatility clustering degrades the efficiency and effectiveness of time series prediction and gives rise to large residual errors. This is because volatility clustering suggests a time series where successive disturbances, even if uncorrelated, are yet serially dependent. To overcome volatility clustering problems, an adaptive neuro-fuzzy inference system (ANFIS) is combined with a nonlinear generalized autoregressive conditional heteroscedasticity (NGARCH) model that is adapted by quantum minimization (QM) so as to tackle the problem of time-varying conditional variance in residual errors. The proposed method significantly reduces large residual errors in forecasts because volatility clustering effects are regulated to trivial levels. Two experiments using real financial data series compare the proposed method and a number of well-known alternative methods. Results show that forecasting performance by the proposed method produces superior results, with good speed of computation. Goodness of fit of the proposed method is tested by Ljung-Box Q-test. It is concluded that the ANFIS/NGARCH composite model adapted by QM performs very well for improved predictive accuracy of irregular non-periodic short-term time series forecast and will be of interest to the science of statistical prediction of time series.

Keywords

Mean Square Error Mean Absolute Percent Error Mean Absolute Deviation Grey Model Volatility Cluster 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Bao Rong Chang
    • 1
  1. 1.Department of Computer Science and Information EngineeringNational Taitung UniversityTaitungTaiwan

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