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Fuzzy coefficient volatility (FCV) models with applications. (English) Zbl 1165.91415
Summary: Recently, C. Carlson and R. Fullér [Fuzzy Sets Syst. 122, 315–326 (2001; Zbl 1016.94047)] have introduced possibilistic mean, variance and covariance of fuzzy numbers and R. Fullér and P. Majlender [Fuzzy Sets Syst. 136, 363–374 (2003; Zbl 1022.94032)] have introduced the notion of crisp weighted possibilistic moments of fuzzy numbers. In this paper, we propose a class of FCV (Fuzzy Coefficient Volatility) models and study the moment properties. The method used here is very similar to the method used by S.S. Appadoo, M. Ghahramani and A. Thavaneswaran [Math. Sci. 30, No. 1, 50–63 (2005; Zbl 1083.62081)]. The proposed models incorporate fuzziness, subjectivity, arbitrariness and uncertainty observed in most financial time series. The usual forecasting method does not incorporate parameter variability. Fuzzy numbers are used to model the parameters to incorporate parameter variability.

MSC:
 91B28 Finance etc. (MSC2000) 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62P05 Applications of statistics to actuarial sciences and financial mathematics 03E72 Theory of fuzzy sets, etc.
FinTS
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References:
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