A bivariate fuzzy time series model to forecast the TAIEX

Authors:
Tiffany Hui-Kuang Yu;Kun-Huang Huarng
Affiliations:
Department of Public Finance, Feng Chia University, 100 Wenhwa Road, Seatwen, Taichung 407, Taiwan, ROC;Department of International Trade, Feng Chia University, 100 Wenhwa Road, Seatwen, Taichung 407, Taiwan, ROC
Venue:
Expert Systems with Applications: An International Journal
Year:
2008

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Abstract

Fuzzy time series models have been applied to forecast various domain problems and have been shown to forecast better than other models. Neural networks have been very popular in modeling nonlinear data. In addition, the bivariate models are believed to outperform the univariate models. Hence, this study intends to apply neural networks to fuzzy time series forecasting and to propose bivariate models in order to improve forecasting. The stock index and its corresponding index futures are taken as the inputs to forecast the stock index for the next day. Both in-sample estimation and out-of-sample forecasting are conducted. The proposed models are then compared with univariate models as well as other bivariate models. The empirical results show that one of the proposed models outperforms the many other models.