APPLICATION OF ADAPTIVE NEURO-FUZZY INFERENCE SYSTEM IN INTEREST RATES EFFECTS ON STOCK RETURNS
Journal Title: Indian Journal of Computer Science and Engineering - Year 2011, Vol 2, Issue 1
Abstract
In the current study we examine the effects of interest rate changes on common stock returns of Greek banking sector. We examine the Generalized Autoregressive eteroskedasticity (GARCH) process and an Adaptive Neuro-Fuzzy Inference System (ANFIS). The conclusions of our findings are that the changes of interest rates, based on GARCH model, are insignificant on common stock returns during the period we examine. On the other hand, with ANFIS we can get the rules and in each case we can have positive or negative effects depending on the conditions and the firing rules of inputs, which information is not possible to be retrieved with the traditional econometric modelling. Furthermore we examine the forecasting performance of both models and we conclude that ANFIS outperforms GARCH model in both in-sample and out-of-sample periods.
Authors and Affiliations
ELEFTHERIOS GIOVANIS
Keywords
Related Articles
- EP ID EP91995
- DOI -
- Views 141
- Downloads 0
STUDY OF QoS ISSUES FOR ROUTING PROTOCOLS in IEEE 802.11s
This paper focuses on the two routing protocols proposed by IEEE 802.11s for Wireless Mesh Networks. Towards this goal, this paper contributes in several areas of Routing and Quality-of-Service provisioning in IEEE 802.1...
REGRESSION TESTING : TABU SEARCH TECHNIQUE FOR CODE COVERAGE
Software testing is one of the most expensive and critical activities which carries out every time in order to give a best quality of a software product. Here the regression testing which is based on testing mechanism is...
AUTOMATED DIGITAL MAMMOGRAM SEGMENTATION FOR DETECTION OF ABNORMAL MASSES USING BINARY HOMOGENEITY ENHANCEMENT ALGORITHM
Many image processing techniques have been developed over the past two decades to help radiologists in diagnosing breast cancer. At the same time, many studies proven that an early diagnosis of breast cancer can increase...
Intelligence Intrusion Detection Prevention Systems using Object Oriented Analysis method
This paper is deliberate to provide a model for “Intelligence Intrusion Detection Prevention Systems using Object Oriented Analysis method ” , It describes the state’s overall requirements regarding the acquisition and i...
JOINT CHANNEL ESTIMATION AND DECODING OF RAPTOR CODE ON FADING CHANNEL
In this paper, the problem of transmission of Raptor codes over fading channel is considered. We present in this paper joint decoder architecture for Raptor codes over phase coherent fading channel. The proposed scheme d...