SciELO - Scientific Electronic Library Online

 
vol.21 issue37Leadership of SMB managers in Tamaulipas, Mexico using the inventory of leadership practices author indexsubject indexarticles search
Home Pagealphabetic serial listing  

Services on Demand

Journal

Article

Indicators

Related links

  • On index processCited by Google
  • Have no similar articlesSimilars in SciELO
  • On index processSimilars in Google

Share


Cuadernos de Administración

Print version ISSN 0120-3592

Abstract

ZAPATA GOMEZ, Elizabeth Catalina; VELASQUEZ HENAO, Juan David  and  SMITH QUINTERO, Ricardo Agustín. Adaptive neuro-fuzzy inference systems with heteroscedastic errors for financial series modeling. Cuad. Adm. [online]. 2008, vol.21, n.37, pp.311-334. ISSN 0120-3592.

This paper proposes a new kind of non-linear hybrid model. In the proposed model, mean non-linearity is represented by using an adaptive neuro-fuzzy inference system (ANFIS) whereas variance is represented using a conditional self-regressive heteroscedastic component. The mathematical formula for this type of model is shown and a method to estimate it is proposed. In addition, a specification strategy is developed for the proposed model, based on a battery of statistical soft transaction regression (STR) tests and on verosimility radius testing. As a case study, the IBM stock closing price series dynamics were modeled, which is commonly used as a benchmark in the literature on time series. Results indicate that the model developed represents the dynamics of the studied series better than other models with similar characteristics.

Keywords : ANFIS; ARCH; heteroscedasticity; time series; non-linear models.

        · abstract in Spanish | Portuguese     · text in Spanish     · Spanish ( pdf )

 

Creative Commons License All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License