Fuzzy GARCH model for forecasting volatility of interest rates
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F01%3A00000736" target="_blank" >RIV/61989100:27510/01:00000736 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Fuzzy GARCH model for forecasting volatility of interest rates
Original language description
The paper describes the approach to modelling volatility by combination of GARCH mothodology and fuzzy regression approach. The methodology is applied on interest rates of the Czech economy. GARCH model is described and fuzzy regression with triangular fuzzy numbers is used. Illustrative example is presented.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2001
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics 2001
ISBN
80-245-0196-1
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
215-218
Publisher name
VŠE Praha
Place of publication
Praha
Event location
Hradec Králové
Event date
Sep 5, 2001
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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