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http://dx.doi.org/10.5351/KJAS.2016.29.3.525

EMD based hybrid models to forecast the KOSPI  

Kim, Hyowon (Department of Applied Statistics, Chung-Ang University)
Seong, Byeongchan (Department of Applied Statistics, Chung-Ang University)
Publication Information
The Korean Journal of Applied Statistics / v.29, no.3, 2016 , pp. 525-537 More about this Journal
Abstract
The paper considers a hybrid model to analyze and forecast time series data based on an empirical mode decomposition (EMD) that accommodates complex characteristics of time series such as nonstationarity and nonlinearity. We aggregate IMFs using the concept of cumulative energy to improve the interpretability of intrinsic mode functions (IMFs) from EMD. We forecast aggregated IMFs and residue with a hybrid model that combines the ARIMA model and an exponential smoothing method (ETS). The proposed method is applied to forecast KOSPI time series and is compared to traditional forecast models. Aggregated IMFs and residue provide a convenience to interpret the short, medium and long term dynamics of the KOSPI. It is also observed that the hybrid model with ARIMA and ETS is superior to traditional and other types of hybrid models.
Keywords
intrinsic mode function; exponential smoothing method; ARIMA model; nonstationary model; nonlinear model;
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Times Cited By KSCI : 3  (Citation Analysis)
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