Advances and Applications in Statistics
Volume 13, Issue 1, Pages 83 - 94
(October 2009)
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FORECASTS OF VOLATILITY MODELS: FUZZY ESTIMATION APPROACH
K. Thiagarajah (U.S.A.)
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Abstract: This paper deals with a class of volatility models. We develop the approach of Buckley [2], using a set of confidence intervals, to produce a triangular shaped fuzzy number estimator for parameters in time series models. This is then employed in fuzzy forecasts of some volatility models, and illustrated through numerical examples. |
Keywords and phrases: fuzzy parameter, fuzzy forecast, ARCH, GARCH, volatility. |
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