Horizon-matched historical volatility is commonly used to forecast future volatility for option valuation under the Statement of Financial Accounting Standards 123R. In this paper, we empirically investigate the performance of using historical volatility to forecast long-term stock return volatility in comparison with a number of alternative forecasting methods. Analyzing forecasting errors and...

A precise short-term load forecasting technique is required for the economic and reliable operation of power system. Modern load forecasting techniques especially ANN methods are attractive as they have the ability to handle the non-linear relationships between load, weather temperature and the factors affecting it directly. In this paper, an investigation on the use of ANN for short term load ...

short-term traffic flow forecasting plays a significant role in the intelligent transportation systems (its), especially for the traffic signal control and the transportation planning research. two mainly problems restrict the forecasting of urban freeway traffic parameters. one is the freeway traffic changes non-regularly under the heterogeneous traffic conditions, and the other is the success...

Short-term high-resolution precipitation forecasting has important implications for navigation, flood forecasting, and other hydrological and meteorological concerns. This article introduces a pixel-based algorithm for Short-term Quantitative Precipitation Forecasting (SQPF) using radar-based rainfall data. The proposed algorithm called PixelBased Nowcasting (PBN) tracks severe storms with a hi...

Short-term passenger flow forecasting is an important component of transportation systems. The forecasting result can be applied to support transportation system operation and management such as operation planning and revenue management. In this paper, a divide-and-conquer method based on neural network and origin-destination (OD) matrix estimation is developed to forecast the short-term passen...

East Africa has experienced a number of devastating droughts in recent decades, including the 2010/2011 drought. The National Drought Management Authority Kenya relies on real-time information from MODIS satellites to monitor and respond emerging drought conditions arid semi-arid lands Kenya. Providing accurate timely vegetation health—and its probable near-term future evolution—is essential fo...

Analysis and short-term forecasting of traffic flow data for several locations of the Slovenia highway network are presented. Daily and weekly seasonal components of the data are analysed and several features are extracted to support the forecasting. Various short-term forecasting models are developed for one hour ahead forecasting of the traffic flow. Models include benchmark models (random wa...

The mathematical models of forecasting depend upon the managers conception regarding the actions development for long – term forecasting or for short – term forecasting. To this end, we distinguish two directions: an explorative one and a normative one. From the point of view of the investigating way, the methods and models of forecasting can be synthetic (aggregated) and morphologic, with a hi...

This paper presents an hour-ahead System Marginal Price (SMP) forecasting framework based on a neural network. Recently, the deregulation in power industries has impacted on the power system operational problems. The bidding strategies in energy market among market participants are highly dependent on the short-term price levels. Therefore, short-term SMP forecasting is a very important issue t...

We address the problem of continuously observing and forecasting long-term semantic activities of a first-person camera wearer: what the person will do, where they will go, and what goal they are seeking. In contrast to prior work in trajectory forecasting and short-term activity forecasting, our algorithm, DARKO, reasons about the future position, future semantic state, and future high-level g...