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Risk evaluation for ARCH-GARCH vs. RBF NN forecasting and SVR models: Application to high-frequency time series

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19240%2F15%3A%230005529" target="_blank" >RIV/47813059:19240/15:#0005529 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Risk evaluation for ARCH-GARCH vs. RBF NN forecasting and SVR models: Application to high-frequency time series

  • Original language description

    The paper is concerned with measuring and assessment of risk reduction in managerial decision-making. In this paper, we consider the accuracy of forecasting models based on statistical (stochastic) methods and an intelligent methodology based on soft orgranular 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 modelsbased on information technologies. The statistical GARCH-class models can react to the good and bad news

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    IN - Informatics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/ED1.1.00%2F02.0070" target="_blank" >ED1.1.00/02.0070: IT4Innovations Centre of Excellence</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2015

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Intelligent Systems and Decision Making for Risk Analysis and Crisis Response - Proceedings of the 4th International Conference on Risk Analysis and Crisis Response, RACR 2013

  • ISBN

    9781138000193

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    567-573

  • Publisher name

    Society for Risk Analysis

  • Place of publication

  • Event location

    Istanbul; Turkey

  • Event date

    Jan 1, 2013

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article