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政大機構典藏 > 商學院 > 統計學系 > 學位論文 > Item 140.119/87718

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/87718

Title:	FUZZY ARCH模式的建構與預測：以台灣加權指數為例 Construct FUZZY ARCH model and Forecast
Authors:	林士貴
Contributors:	吳柏林林士貴
Keywords:	模糊數 FUZZY ARCH模式 Fuzzy number FUZZY ARCH model ARCH
Date:	1996
Issue Date:	2016-04-28 15:58:46 (UTC+8)
Abstract:	ARCH在財務分析近來頗受重視，然而實務在建構ARCH模式時參數估計值很難有效估計，而且參數數字本身亦常存在不確定性，其原因可能來自時間數列資料的模糊的性質。利用此一假性的數值來建構模式影響預測，也可能擴大預測結果和實際狀況的誤差，很難讓一般投資者使用並判斷。本文在建構ARCH模式中，加入模糊邏輯概念，以符合實際情況在建構ARCH模式時參數動態的不確定性。嘗試以模糊數的來建構股價加權指數FUZZY ARCH模式，進一步預測，並與ARCH模式作比較分析。 ARCH is more emphasized in financial analysis recently. However, it is difficult to estimate the parameters of ARCH model in practice. Because of the fuzzy property in time series , there exists the uncertainty in the parameters. Use the fictitious value to construct model and forecast the model will make the errors largely between the forecasts and the practical ones. In this thesis, we add the concept of the fuzzy logic to construct the ARCH model in order to conform the real situation. Also, an analysis of the stock data is provided.
Description:	碩士國立政治大學統計學系 84354010
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002002412
Data Type:	thesis
Appears in Collections:	[統計學系] 學位論文

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