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Forecasting high frequency data: An application to BUX index time series modelling and forecasting

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86087872" target="_blank" >RIV/61989100:27510/13:86087872 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Forecasting high frequency data: An application to BUX index time series modelling and forecasting

  • Original language description

    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 thepresence of the leverage effect and to 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/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>

  • Continuities

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

Others

  • Publication year

    2013

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Financial Management of Firms and Financial Institutions : 9th international scientific conference : 9th - 10th September 2013, Ostrava, Czech Republic : proceedings. [Part 1-3]

  • ISBN

    978-80-248-3172-5

  • ISSN

    2336-162X

  • e-ISSN

  • Number of pages

    7

  • Pages from-to

    498-504

  • Publisher name

    VŠB-Technical University of Ostrava

  • Place of publication

    Ostrava

  • Event location

    Ostrava

  • Event date

    Sep 9, 2013

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article