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Abstract: Fluctuations in the stock market follow the principle of volatility clustering in which changes are cataloged by similarity; as such, large changes tend to follow large changes, and small changes tend to follow small changes. This clustering is one of the major reasons why many generalized autoregression conditional heteroscedasticity (GARCH) models do not forecast the stock market well. In this paper, an adaptive Fuzzy-GARCH model with particle swarm optimization (PSO) is proposed to solve this problem. The adaptive Fuzzy-GARCH model refers to both GARCH models and the parameters of membership functions, which are determined by the characteristics of market itself. Here, we present an iterative algorithm based on PSO to estimate the parameters of the membership functions. The PSO method aims to achieve a global optimal solution with a rapid convergence rate. The three stock markets of Taiwan, Japan, and Germany were analyzed to illustrate the performance of the proposed method. [Copyright &y& Elsevier]

Abstract: In this paper, we present a new method for multi-variable fuzzy forecasting based on fuzzy clustering and fuzzy rule interpolation techniques. First, the proposed method constructs training samples based on the variation rates of the training data set and then uses the training samples to construct fuzzy rules by making use of the fuzzy C-means clustering algorithm, where each fuzzy rule corresponds to a given cluster. Then, we determine the weight of each fuzzy rule with respect to the input observations and use such weights to determine the predicted output, based on the multiple fuzzy rules interpolation scheme. We apply the proposed method to the temperature prediction problem and the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) data. The experimental results show that the proposed method produces better forecasting results than several existing methods. [ABSTRACT FROM AUTHOR]