This empirical research aims to modeling and improving the forecasting accuracy of the volatility pattern by employing the Saudi Arabia stock market (Tadawul)by studying daily closed price index data from October 2011 to December 2019 with a number of observations being 2048. In order to achieve significant results, this study employs many mathematical functions which are non-linear spectral model Maximum overlapping Discrete Wavelet Transform (MODWT) based on the best localized function (Bl14), autoregressive integrated moving average (ARIMA) model and generalized autoregressive conditional heteroskedasticity (GARCH) models. Therefore, the major findings of this study show that all the previous events during the mentioned period of time will be explained and a new forecasting model will be suggested by combining the best MODWT function (Bl14 function) and the fitted GARCH model. Therefore, the results show that the ability of MODWT in decomposition the stock market data, highlighting the significant events which have the most highly volatile data and improving the forecasting accuracy will be showed based on some mathematical criteria such as Mean Absolute Percentage Error (MAPE), Mean Absolute Scaled Error (MASE), Root Means Squared Error (RMSE), Akaike information criterion. These results will be implemented using MATLAB software and R-software.
This study implements various, maximum overlap, discrete wavelet transform filters to model and forecast the time-dependent mortality index of the Lee-Carter model. The choice of appropriate wavelet filters is essential in effectively capturing the dynamics in a period. This cannot be accomplished by using the ARIMA model alone. In this paper, the ARIMA model is enhanced with the integration of various maximal overlap discrete wavelet transform filters such as the least asymmetric, best-localized, and Coiflet filters. These models are then applied to the mortality data of Australia, England, France, Japan, and USA. The accuracy of the projecting log of death rates of the MODWT-ARIMA model with the aforementioned wavelet filters are assessed using mean absolute error, mean absolute percentage error, and mean absolute scaled error. The MODWT-ARIMA (5,1,0) model with the BL14 filter gives the best fit to the log of death rates data for males, females, and total population, for all five countries studied. Implementing the MODWT leads towards improvement in the performance of the standard framework of the LC model in forecasting mortality rates.
Mortality studies are essential in determining the health status and demographic composition of a population. The Lee–Carter (LC) modelling framework is extended to incorporate the macroeconomic variables that affect mortality, especially in forecasting. This paper makes several major contributions. First, a new model (LC-WT-ANFIS) employing the adaptive network-based fuzzy inference system (ANFIS) was proposed in conjunction with a nonlinear spectral model of maximum overlapping discrete wavelet transform (MODWT) that includes five mathematical functions, namely, Haar, Daubechies (d4), least square (la8), best localization (bl14), and Coiflet (c6) to enhance the forecasting accuracy of the LC model. Annual mortality data was collected from five countries (Australia, England, France, Japan, and the USA) from 1950 to 2016. Second, we selected gross domestic product (GDP), unemployment rate (UR), and inflation rate (IF) as input values according to correlation and multiple regressions. The input variables in this study were obtained from the World Bank and Datastream. The output variable was collected from the mortality rates in Human Mortality Database. Finally, the LC model’s projected log of death rates was compared with wavelet filters and the traditional LC model. The performance of the proposed model (LC-WT-ANFIS) was evaluated based on mean absolute percentage error (MAPE) and mean error (ME). Results showed that the LC-WT-ANFIS model performed better than the traditional model. Therefore, the proposed forecasting model is capable of projecting mortality rates.
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