Dynamic Fuzzy-GARCH Model-A Case Study of Orchid Transactions in Taiwan

• Main Authors: Yu-Ching Peng, 彭育慶
• Other Authors: Yan-Kuen Wu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/30101556271141054874

碩士 === 萬能科技大學 === 經營管理研究所 === 100 === Since the International Flower Exposition on Rotterdam of the Netherlands in 1960, flowers become to show off art, science and technology, and green building by many countries. Orchid transactions to the flower industry in Taiwan have a pivotal position. Therefore, applying the GARCH model, fuzzy time series model and Dynamic Fuzzy-GARCH model for forecasting the transaction price of orchid in Taiwan is the purpose of this study. Select a suitable and reliable time series method becomes to be a very important issue for many managers. This study looks for a forecasting model with goodness of fit by using the advantage of the traditional time series and fuzzy set theory. Then, three different kinds of forecasting model are employed to verify the prediction capability by the way of the transaction price of orchid in Taiwan. This study selects total 235 pieces of daily transaction price of orchid from the public information of the agricultural trading market station of Taiwan between December 1, 2010 to July 2011, 31. GARCH time series models, Fuzzy time series and Dynamic Fuzzy-GARCH model are applied to forecast the transaction price of orchid. Based on the mean absolute percentage error (MAPE) to measure the accuracy of forecast for the two applied methods, the Dynamic Fuzzy-GARCH model is more less forecast error than the GARCH model and fuzzy time series model.