N. Watanabe, T. Imaizumi, and T. Kikuchi (Japan)
Takagi-Sugeno's model, nonlinear model, TAR model, ARCH model, stock return
A time series model based on fuzzy if-then rules is intro duced for financial time series such as stock returns. The proposed model is an application of the Takagi-Sugeno's fuzzy system and has similar properties to ARCH and GARCH models. However, the model is for the series it self, while the ARCH or GARCH model is for the volatil ity. Therefore the prediction of the series can be considered by the model. The applicability of the proposed model is considered by applying to real time series.
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