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  • In this paper, we consider the accuracy of forecasting models based on statistical (stochastic) methods and a intelligent methodology based on soft or granular computing. The proposed intelligent approach is applied to the high frequency time series of BUX indexes. We found that it is possible to achieve significant risk reduction in managerial decision-making by applying intelligent forecasting models based on information technologies. On the other hand, statistical GARCH-class models can identify the presence of the leverage effect and to react to the good and bad news.
  • In this paper, we consider the accuracy of forecasting models based on statistical (stochastic) methods and a intelligent methodology based on soft or granular computing. The proposed intelligent approach is applied to the high frequency time series of BUX indexes. We found that it is possible to achieve significant risk reduction in managerial decision-making by applying intelligent forecasting models based on information technologies. On the other hand, statistical GARCH-class models can identify the presence of the leverage effect and to react to the good and bad news. (en)
Title
  • Forecasting high frequency data: An application to BUX index time series modelling and forecasting
  • Forecasting high frequency data: An application to BUX index time series modelling and forecasting (en)
skos:prefLabel
  • Forecasting high frequency data: An application to BUX index time series modelling and forecasting
  • Forecasting high frequency data: An application to BUX index time series modelling and forecasting (en)
skos:notation
  • RIV/61989100:27510/13:86087872!RIV14-MSM-27510___
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(EE2.3.20.0296)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
  • Marček, Dušan
  • Hovanec, Matúš
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 75429
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/13:86087872
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • volatility; high frequency data; RBF neural networks; forecast accuracy; classes ARCH-GARCH models, forecasting; time series (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [FAC448B837FB]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Financial Management of Firms and Financial Institutions : 9th international scientific conference : 9th - 10th September 2013, Ostrava, Czech Republic : proceedings. [Part 1-3]
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http://linked.open...ichTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...iv/tvurceVysledku
  • Marček, Dušan
  • Hovanec, Matúš
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
issn
  • 2336-162X
number of pages
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  • Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn
  • 978-80-248-3172-5
http://localhost/t...ganizacniJednotka
  • 27510
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