A multiscale modeling approach incorporating ARIMA and anns for financial market volatility forecasting |
| |
Authors: | Yi Xiao Jin Xiao John Liu Shouyang Wang |
| |
Affiliation: | 1. School of Information Management, Central China Normal University, Wuhan, 430079, China 2. Business School, Sichuan University, Chengdu, 610064, China 3. Center for Transport Trade and Financial Studies, City University of Hong Kong, Hong Kong, China 4. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China
|
| |
Abstract: | The financial market volatility forecasting is regarded as a challenging task because of irregularity, high fluctuation, and noise. In this study, a multiscale ensemble forecasting model is proposed. The original financial series are decomposed firstly different scale components (i.e., approximation and details) using the maximum overlap discrete wavelet transform (MODWT). The approximation is predicted by a hybrid forecasting model that combines autoregressive integrated moving average (ARIMA) with feedforward neural network (FNN). ARIMA model is used to generate a linear forecast, and then FNN is developed as a tool for nonlinear pattern recognition to correct the estimation error in ARIMA forecast. Moreover, details are predicted by Elman neural networks. Three weekly exchange rates data are collected to establish and validate the forecasting model. Empirical results demonstrate consistent better performance of the proposed approach. |
| |
Keywords: | ARIMA model financial market volatility forecasting multiscale modeling approach neural network wavelet transform |
本文献已被 维普 SpringerLink 等数据库收录! |
|