A Fuzzy Asymmetric GARCH model applied to stock markets

Information Sciences

Volumn 179, Issue 22, 2009, Pages 3930-3943

  Hung, Jui Chung ^a  

^a LING TUNG UNIVERSITY   (Taiwan)

Author keywords

Asymmetric GARCH; Fuzzy logic; Volatility

Indexed keywords

ANALYSIS AND MODELING; ASYMMETRIC GARCH; ASYMMETRIC GARCH MODEL; EXPERT KNOWLEDGE; FINANCIAL TIME SERIES; FUZZY LOGIC SYSTEM; GARCH MODELS; GENERALIZED AUTOREGRESSION; HETEROSKEDASTICITY; HONG-KONG; LEVERAGE EFFECTS; SIMULATION RESULT; STOCK MARKET; TIME VARYING; VOLATILITY; WEIGHTED INDEX;

COMMERCE; FINANCIAL DATA PROCESSING; FUZZY SETS; KNOWLEDGE MANAGEMENT; REGRESSION ANALYSIS; SIMULATORS; TIME SERIES; TIME SERIES ANALYSIS;

FUZZY LOGIC;

EID: 69549129284     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ins.2009.07.009     Document Type: Article

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