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- W2360088061 abstract "Volatility clustering degrades the accuracy of ANFIS.To overcome volatility clustering problems,an adaptive neuro-fuzzy inference system(ANFIS) is combined with a nonlinear generalized autoregressive conditional heteroscedasticity(NGARCH) model that is tuned by adaptive support vector regression(ASVR) so as to tackle the problem of time-varying conditional variance in residual errors.Adaptive support vector regression is given to make the model.The proposed method significantly reduces large residual errors in forecasts because volatility clustering effects are regulated to trivial levels.Results show that forecasting performance of the new model is better than previous one." @default.
- W2360088061 created "2016-06-24" @default.
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- W2360088061 date "2006-01-01" @default.
- W2360088061 modified "2023-09-23" @default.
- W2360088061 title "Research on ANFIS-NGARCH tuning model" @default.
- W2360088061 hasPublicationYear "2006" @default.
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