A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates

作者：Yu, L; Wang, SY; Lai, KK^*

来源：Computers & Operations Research, 2005, 32(10): 2523-2541.

DOI：10.1016/j.cor.2004.06.024

• GLAR
• AW
• nonlinear ensemble model
• forecasting
• foreign exchange rates

In this study, we propose a novel nonlinear ensemble forecasting model integrating generalized linear autoregression (GLAR) with artificial neural networks (ANN) in order to obtain accurate prediction results and ameliorate forecasting performances. We compare the new model's performance with the two individual forecasting models-GLAR and ANN-as well as with the hybrid model and the linear combination models. Empirical results obtained reveal that the prediction using the nonlinear ensemble model is generally better than those obtained using the other models presented in this study in terms of the same evaluation measurements. Our findings reveal that the nonlinear ensemble model proposed here can be used as an alternative forecasting tool for exchange rates to achieve greater forecasting accuracy and improve prediction quality further.

• 出版日期2005-10
• 单位中国科学院数学与系统科学研究院; 香港城市大学