Volatility forecasting with smooth transition exponential smoothing

Article Abstract:

A new adaptive method called smooth transition exponential smoothing (STES) method, which uses a logistic function as an adaptive smoothing parameter is developed for forecasting the volatility in financial returns. The results obtained from the STES model are encouraging as compared to the results of fixed parameter smoothing models and different generalized autoregressive conditional heteroskedastic (GARCH) models.

Regression analysis, Volatility

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A note on multi-step forecasting with functional coefficient autoregressive models

Article Abstract:

Various methods for multi-step forecasting by the application of univariate and multivariate functional coefficient autoregressive models are provided. Bootstrap prediction, smoothing, vector nonlinear time series, etc. are discussed.

Economic forecasting, Time-series analysis, Time series analysis

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Density forecasting for the efficient balancing of the generation and consumption of electricity

Article Abstract:

A study on forecasting the imbalance in density between power generation and consumption is discussed.

Electric Power Generating, Electric Power Generation, Electric services, Analysis, Electric power production, Energy consumption

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