About: High Frequency Data: Making Forecasts and Looking for an Optimal Forecasting Horizon

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We illustrate the AutoRegessiveiGeneralised collditionaliy Heteros§cedastic (ARCH-GARCH) methodology on the developing a forecast mode! for exchange rates time series of the Czech crown (CZK) againsr the Slovak crown (SKK) and make comparisons the forecast accuracy with the class of Radial Basic Functiov Neural neural network RBF NN models. To illustrate the forecasting performance of these approaches the inIJu t/r.utput function estimation based on REF networks is presented. III a comparative study is shown that the RBF NN approach is able to model and predkt high frequency data with reasol1abie accuracy and more efficient than statistical methods. In order to find the optima! forecasting horizon, we use the analysis of fo recast errors and choose tnt values that give the smallest error variance. It is found that the error variance estimation process based on soft methods is simplified and less critical to the question whether the data is true crisp or white noise. We illustrate the AutoRegessiveiGeneralised collditionaliy Heteros§cedastic (ARCH-GARCH) methodology on the developing a forecast mode! for exchange rates time series of the Czech crown (CZK) againsr the Slovak crown (SKK) and make comparisons the forecast accuracy with the class of Radial Basic Functiov Neural neural network RBF NN models. To illustrate the forecasting performance of these approaches the inIJu t/r.utput function estimation based on REF networks is presented. III a comparative study is shown that the RBF NN approach is able to model and predkt high frequency data with reasol1abie accuracy and more efficient than statistical methods. In order to find the optima! forecasting horizon, we use the analysis of fo recast errors and choose tnt values that give the smallest error variance. It is found that the error variance estimation process based on soft methods is simplified and less critical to the question whether the data is true crisp or white noise. (en)
Title	High Frequency Data: Making Forecasts and Looking for an Optimal Forecasting Horizon High Frequency Data: Making Forecasts and Looking for an Optimal Forecasting Horizon (en)
skos:prefLabel	High Frequency Data: Making Forecasts and Looking for an Optimal Forecasting Horizon High Frequency Data: Making Forecasts and Looking for an Optimal Forecasting Horizon (en)
skos:notation	RIV/63468352:_____/10:#0000301!RIV13-MSM-63468352
http://linked.open...avai/riv/aktivita	N P
http://linked.open...avai/riv/aktivity	N, P(GA402/08/0022)
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Marček, Dušan Matušík, Petr
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Evropský polytechnický institut, s.r.o. / (nerozlišená součást)
http://linked.open...dnocenehoVysledku	261503
http://linked.open...ai/riv/idVysledku	RIV/63468352:_____/10:#0000301
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	time series, ARCH-GARCH models, soft neural networks, granular computing, forecast accuracy (en)
http://linked.open.../riv/klicoveSlovo	ARCH-GARCH models granular computing soft neural networks time series forecast accuracy
http://linked.open...ontrolniKodProRIV	[8514DBEC2E6F]
http://linked.open...v/mistoKonaniAkce	Yantai
http://linked.open...i/riv/mistoVydani	China
http://linked.open...i/riv/nazevZdroje	Sixth International Conference on Natural Computation
http://linked.open...in/vavai/riv/obor	IN
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	The Latest Intelligent Methodologies for Economic Time Series Modelling and Forecasting
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Marček, Dušan Matušík, Petr Marček, M.
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2010-01-01 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Neuveden
https://schema.org/isbn	978-1-4244-5960-5

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