IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

A comparison of ARIMA forecasting and heuristic modelling

  • Chi-Chen Wang
  • Yun-Sheng Hsu
  • Cheng-Hwai Liou
Registered author(s):

    The study compares the application of the forecasting methods Autoregressive Integrated Moving Average (ARIMA) time series model and fuzzy time series by heuristic models on the amount of Taiwan export. When our model prolongs the sample period, the predicted error is smaller for the ARIMA model than for the heuristic model. Moreover, the predicted trajectory of the ARIMA model is much closer to the realistic trend than the heuristic model. Thus, the ARIMA model can forecast the export amount more accurately than the heuristic models. In the economic viewpoints, the amount of Taiwan exports is mainly attributable to external factors. In addition, the impact reduces with time and the export with lags 12 or 13 do not affect current export amount anymore. If the sample period is shorter, the heuristic models outperform ARIMA models. A heuristic fuzzy time series model can be utilized to predict export values accurately, when only small set of data is available.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603107.2010.537629
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 21 (2011)
    Issue (Month): 15 ()
    Pages: 1095-1102

    as
    in new window

    Handle: RePEc:taf:apfiec:v:21:y:2011:i:15:p:1095-1102
    Contact details of provider: Web page: http://www.tandfonline.com/RAFE20

    Order Information: Web: http://www.tandfonline.com/pricing/journal/RAFE20

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:21:y:2011:i:15:p:1095-1102. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.