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Conditional Density Estimation Using Fuzzy GARCH Models

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Synergies of Soft Computing and Statistics for Intelligent Data Analysis

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 190))

Abstract

Time series data exhibits complex behavior including non-linearity and path-dependency. This paper proposes a flexible fuzzy GARCH model that can capture different properties of data, such as skewness, fat tails and multimodality in one single model. Furthermore, additional information and simple understanding of the underlying process can be provided by the linguistic interpretation of the proposed model. The model performance is illustrated using two simulated data examples.

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Author information

Authors and Affiliations

  1. Erasmus School of Economics, Econometric Institute, Erasmus University Rotterdam, 3000, DR, Rotterdam, The Netherlands

    Rui Jorge Almeida & Nalan Baştürk

  2. School of Industrial Engineering, Eindhoven University of Technology, 5600, MB, Eindhoven, The Netherlands

    Uzay Kaymak

  3. Instituto Superior Técnico, Dept. of Mechanical Engineering, CIS/IDMEC – LAETA, Technical University of Lisbon, 1049-001, Lisbon, Portugal

    João Miguel da Costa Sousa

Authors
  1. Rui Jorge Almeida
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  2. Nalan Baştürk
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  3. Uzay Kaymak
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  4. João Miguel da Costa Sousa
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Corresponding author

Correspondence to Rui Jorge Almeida .

Editor information

Editors and Affiliations

  1. Faculty of Computer Science, Otto-von-Guericke University of Magdebur, Geb. 29, Raum 008, Universitätsplatz 2, Magdeburg, 39106, Germany

    Rudolf Kruse

  2. , FB Informatik & Informationswissenschaft, University of Konstanz, Konstanz, 78457, Germany

    Michael R. Berthold

  3. of Magdeburg, Faculty of Computer Science, Otto-von-Guericke University, Geb. 29, Universitätsplatz 2 008, Magdeburg, 39106, Germany

    Christian Moewes

  4. , Department of Statistics and OR, University of Oviedo, C/ Calvo Sotelo, s/n, Oviedo, 33007, Spain

    María Ángeles Gil

  5. Systems Research Institute, Polish Academy of Sciences, Newelska 6, Warsaw, 01-447, Poland

    Przemysław Grzegorzewski

  6. Systems Research Institute, Polish Academy of Sciences, Newelska 6, Warsaw, 01-447, Poland

    Olgierd Hryniewicz

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Almeida, R.J., Baştürk, N., Kaymak, U., da Costa Sousa, J.M. (2013). Conditional Density Estimation Using Fuzzy GARCH Models. In: Kruse, R., Berthold, M., Moewes, C., Gil, M., Grzegorzewski, P., Hryniewicz, O. (eds) Synergies of Soft Computing and Statistics for Intelligent Data Analysis. Advances in Intelligent Systems and Computing, vol 190. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33042-1_19

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  • DOI: https://doi.org/10.1007/978-3-642-33042-1_19

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-33041-4

  • Online ISBN: 978-3-642-33042-1

  • eBook Packages: EngineeringEngineering (R0)

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