The class of conditionally heteroskedastic models known as ‘augmented ARCH’ encompasses most linear ‘ARCH’-type models found in the literature and, in particular, two basic ARCH variants for autocorrelated series: Engle (1982) explains conditional variance by lagged errors, Weiss (1984) also by lagged observations. The framework permits an evaluation of whether the restrictions evolving from th...

Rajitha R. Vuppula a, Mahesh S. Tirumkudulu *b and Kareenhalli V. Venkatesh *c aDepartment of Chemical Engineering, Indian Institute of Technology Bombay, Mumbai 400076. E-mail: [email protected] bDepartment of Chemical Engineering, Indian Institute of Technology Bombay, Mumbai 400076. E-mail: [email protected] cDepartment of Chemical Engineering, Indian Institute of Technology Bombay, Mum...

One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock exchange market. This research proposes a smart algorithm by means of valuable big data that is generated by stock exchange market and different kinds of methodology to present a smart model.In this paper, we investigate relationships between the data and access to their lat...

This literature aims to analyze the impact of Dollar Index and Gold Price returns volatility on stock market India China, viz., Shanghai Stock Exchange Bombay Sensex, during period Covid-19. study employs daily time-series data from January up August for 2019, 2020, a merged 2019-2020, i.e., Pre-Pandemic, Mid-Pandemic Pre through periods, respectively; avoid possible abnormalities heteroscedast...

This paper presents an integrated functional link interval type-2 fuzzy neural system (FLIT2FNS) for predicting the stock market indices. The hybrid model uses a TSK (Takagi–Sugano–Kang) type fuzzy rule base that employs type-2 fuzzy sets in the antecedent parts and the outputs from the Functional Link Artificial Neural Network (FLANN) in the consequent parts. Two other approaches, namely the i...