Advances in Time Series Forecasting

Volume: 1

Indexed in: Scopus, EBSCO, Ulrich's Periodicals Directory

Time series analysis is applicable in a variety of disciplines, such as business administration, economics, public finance, engineering, statistics, econometrics, mathematics and actuarial sciences. ...
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Forecasting Gold Prices Series in Turkey by the Forecast Combination

Pp. 108-117 (10)

Cagdas Hakan Aladag, Erol Eǧrioǧlu and Cem Kadilar

Abstract

Forecast combination is a method used for obtaining more accurate forecasts. Forecast combination consists of the combination of forecasts obtained from different models with various methods. There are several types of forecast combination in the forecasting literature. In this study, various fuzzy time series approaches are applied to Turkey’s daily highest gold prices series and forecasts obtained from these approaches are combined with variance covariance method (VCM), mean square forecast error method (MSFE) and artificial neural networks (ANN) approach. Results obtained from all of these methods are analyzed and the optimal forecast technique for Turkey’s daily highest gold prices series is determined.

Keywords:

Artificial neural networks, Forecasting, Forecast combination, Fuzzy time series.

Affiliation:

Hacettepe University, Faculty of Science, Department of Statistics, 06800, Ankara, Turkey