In the recent years, the use of GARCH type (especially, ARMA-GARCH) models and computational-intelligence-based techniques—Support Vector Machine (SVM) and Relevance Vector Machine (RVM) have been successfully used for financial forecasting. This paper deals with the application of ARMA-GARCH, recurrent SVM (RSVM) and recurrent RVM (RRVM) in volatility forecasting. Based on RSVM and RRVM, two G...

This study investigates the extent of the contribution of the original GARCH model to our understanding of the stochastic process underlying exchange rate price changes, and examines if the movement of current research to GARCH type models exclusively is warranted. GARCH(1,1) parameters are calculated on a yearly basis and used to standardize the exchange rate price change data. Frequency distr...

With the increase of wind power as a renewable energy source in many countries, wind speed forecasting has become more and more important to the planning of wind speed plants, the scheduling of dispatchable generation and tariffs in the day-ahead electricity market, and the operation of power systems. However, the uncertainty of wind speed makes troubles in them. For this reason, a wind speed f...

The log returns of financial time series are usually modeled by means of the stationary GARCH(1,1) stochastic process or its generalizations which can not properly describe the nonstationary deterministic components of the original series. We analyze the influence of deterministic trends on the GARCH(1,1) parameters using Monte Carlo simulations. The statistical ensembles contain numerically ge...

CCC is a high-level parallel programming language that aims to provide a coherent integration of various parallel programming paradigms. CCC supports both data and task parallelism. In CCC, data parallelism is specified in SIMD model, while task parallelism is specified in MIMD model. Task parallelism in CCC supports both message-passing communication abstraction and shared-variables synchroniz...

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan’s GARCH option models where conditional returns are constrained to being normal, as well as extends Merton’s jump-diffusion model by allowing return volatility to exhibit GARCH-like behavior. Empirical analysis on the S&P 500 index r...

In the present study, we investigated the combined effect of Colla Cornus Cervi (CCC) and BMP7overexpressing bone marrow-derived mesenchymal stem cells (BMSCs) on osteogenic induction and the treatment of avascular necrosis of the femoral head (ANFH). BMSCs were isolated from rats. BMP7-overexpressing BMSCs were generated by lentiviral-mediated gene transduction. Cell proliferation, alkaline ph...