Min Hyung Park¹, Dongyan Nan^2,3, Yerin Kim¹, Jang Hyun Kim^1,2,3,*

Computer Systems Science and Engineering, Vol.47, No.1, pp. 121-134, 2023, DOI:10.32604/csse.2023.033247

Abstract After the outbreak of COVID-19, the global economy entered a deep freeze. This observation is supported by the Volatility Index (VIX), which reflects the market risk expected by investors. In the current study, we predicted the VIX using variables obtained from the sentiment analysis of data on Twitter posts related to the keyword “COVID-19,” using a model integrating the bidirectional long-term memory (BiLSTM), autoregressive integrated moving average (ARIMA) algorithm, and generalized autoregressive conditional heteroskedasticity (GARCH) model. The Linguistic Inquiry and Word Count (LIWC) program and Valence Aware Dictionary for Sentiment Reasoning (VADER) model were utilized as sentiment analysis methods. The… More >

Tariq T. Alshammari¹, Mohd Tahir Ismail¹, Nawaf N. Hamadneh^3,*, S. Al Wadi², Jamil J. Jaber², Nawa Alshammari³, Mohammad H. Saleh²

Intelligent Automation & Soft Computing, Vol.35, No.3, pp. 2589-2601, 2023, DOI:10.32604/iasc.2023.024001

Abstract In this study, we proposed a new model to improve the accuracy of forecasting the stock market volatility pattern. The hypothesized model was validated empirically using a data set collected from the Saudi Arabia stock Exchange (Tadawul). The data is the daily closed price index data from August 2011 to December 2019 with 2027 observations. The proposed forecasting model combines the best maximum overlapping discrete wavelet transform (MODWT) function (Bl14) and exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model. The results show the model's ability to analyze stock market data, highlight important events that contain the most volatile data, and improve… More >

Kais Tissaoui^1,2,*, Sahbi Boubaker^3,4, Waleed Saud Alghassab¹, Taha Zaghdoudi^1,5, Jamel Azibi⁶

CMC-Computers, Materials & Continua, Vol.73, No.2, pp. 4291-4309, 2022, DOI:10.32604/cmc.2022.028830

Abstract The application of optimization methods to prediction issues is a continually exploring field. In line with this, this paper investigates the connectedness between the infected cases of COVID-19 and US fear index from a forecasting perspective. The complex characteristics of implied volatility risk index such as non-linearity structure, time-varying and non-stationarity motivate us to apply a nonlinear polynomial Hammerstein model with known structure and unknown parameters. We use the Hybrid Particle Swarm Optimization (HPSO) tool to identify the model parameters of nonlinear polynomial Hammerstein model. Findings indicate that, following a nonlinear polynomial behaviour cascaded to an autoregressive with exogenous input… More >