1. A Garlic-Price-Prediction Approach Based on Combined LSTM and GARCH-Family Model
- Author
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Yan Wang, Pingzeng Liu, Ke Zhu, Lining Liu, Yan Zhang, and Guangli Xu
- Subjects
Fluid Flow and Transfer Processes ,price prediction ,combined model ,long short-term memory model ,garlic ,Process Chemistry and Technology ,General Engineering ,General Materials Science ,Instrumentation ,Computer Science Applications - Abstract
The frequent and sharp fluctuations in garlic prices seriously affect the sustainable development of the garlic industry. Accurate prediction of garlic prices can facilitate correct evaluation and scientific decision making by garlic practitioners, thereby avoiding market risks and promoting the healthy development of the garlic industry. To improve the prediction accuracy of garlic prices, this paper proposes a garlic-price-prediction method based on a combination of long short-term memory (LSTM) and multiple generalized autoregressive conditional heteroskedasticity (GARCH)-family models for the nonstationary and nonlinear characteristics of garlic-price series. Firstly, we obtain volatility characteristic information such as the volatility aggregation of garlic-price series by constructing GARCH-family models. Then, we leverage the LSTM model to learn the complex nonlinear relationships between the garlic-price series and the volatility characteristic information of the series, and predict the garlic price. We applied the proposed model to a real-world garlic dataset. The experimental results show that the prediction performance of the combined LSTM and GARCH-family model containing volatility characteristic information of garlic price is generally better than those of the separate models. The combined LSTM model incorporating GARCH and PGARCH models (LSTM-GP) had the best performance in predicting garlic price in terms of evaluation indexes, such as mean absolute error, root mean-square error, and mean absolute percentage error. The combined model of LSTM-GARCH provides the best results in garlic price prediction and can provide support for garlic price prediction.
- Published
- 2022
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