Deterministic vector long-term forecasting for fuzzy time series

Applying a combined fuzzy systems and GARCH model to adaptively forecast stock market volatility

“…In this paper, we propose a fuzzy GARCH model based on fuzzy systems [13][14][15][16][17]. Fuzzy modeling methods are promising techniques for describing complex dynamics and asymmetries in systems.…”

A high-order multi-variable Fuzzy Time Series forecasting algorithm based on fuzzy clustering

“…Some other techniques for determining best intervals and interval lengths are found in (Egrioglu, Aladag, Yolcu, Uslu, & Basaran, 2010;Wang, Liu, & Pedrycz, 2013). Some FTS algorithms are based on fuzzy clustering in which no interval is used and instead the data is fuzzified to the cluster centers (Bulut, Duru, & Yoshida, 2012;Chen & Tanuwijaya, 2011;Cheng, Cheng, & Wang, 2008;Egrioglu, Aladag, Yolcu, Uslu, & Erilli, 2011;Li, Kuo, Cheng, & Chen, 2010, 2008. The most important advantage of these algorithms over interval based algorithms is that no interval is required.…”

Evolutionary Fuzzy Relational Modeling for Fuzzy Time Series Forecasting

“…Li and Cheng [12] also proposed a random hidden Markov model for twofactor one-order time-invariant fuzzy time series problems. Later, Li et al [13] proposed a deterministic vector model for long-term fuzzy time series forecasting. They then proposed another deterministic vector forecasting model, adopting the techniques of sliding windows and a fuzzy clustering method, for one-factor time-invariant fuzzy time series problems [14].…”

“…The second dataset is the daily closing price of Google stock collected during the period from 1 January 2009 to 6 October 2010. We implemented four measures, including root mean square error (RMSE), trend accuracy in direction (TAD) [13,14], percent mean absolute deviation (PMAD), and mean absolute percentage error (MAPE), to evaluate the performance of the proposed method. The results show that the proposed model achieves a significant improvement in forecasting accuracy compared to the original one.…”