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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
IN - Informatics
OECD FORD branch
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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
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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
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