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2021
- handle: 10670/1.g6ub7g
- 0186-1042
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Contaduría y Administración
Mots-clés
Administración y Contabilidad C22 C51 C53 Fuzzy logic Fuzzy ARIMASujets proches
Box-Jenkins models Forecasting, Box-Jenkins Autoregressive integrated moving average ARIMA Models, Box-JenkinsCiter ce document
José Eduardo Medina Reyes et al., « New hybrid fuzzy time series model: Forecasting the foreign exchange market », Contaduría y Administración, ID : 10670/1.g6ub7g
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Résumé
"This work develops a comparison between the volatility prediction of traditional time series models (ARIMA, EGARCH and PARCH), against two new proposed models based on fuzzy theory (FTS- Fuzzy ARIMA Tseng’s and FTS-Fuzzy ARIMA Tanaka’s). To make this comparison, we estimated the Mexican peso - US dollar exchange rate yield from January 2008 to December 2017. Our main result is that the models based on fuzzy theory generate a better estimate of the volatility. The fuzzy models show a smaller least forecast error than the traditional time series in both; in and out of sample tests; for the volatility in the yield of the Mexican peso – US dollar exchange rate. Therefore, the fuzzy models showed higher efficiency and better reflects the market information."