{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,5,14]],"date-time":"2025-05-14T02:42:38Z","timestamp":1747190558416,"version":"3.40.5"},"reference-count":22,"publisher":"Wiley","license":[{"start":{"date-parts":[[2021,12,24]],"date-time":"2021-12-24T00:00:00Z","timestamp":1640304000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Applied Computational Intelligence and Soft Computing"],"published-print":{"date-parts":[[2021,12,24]]},"abstract":"<jats:p>This work shown as the fuzzy-EGARCH-ANN (fuzzy-exponential generalized autoregressive conditional heteroscedastic-artificial neural network) model does not require continuous model calibration if the corresponding DE algorithm is used appropriately, but other models such as GARCH, EGARCH, and EGARCH-ANN need continuous model calibration and validation so they fit the data and reality very well up to the desired accuracy. Also, a robust analysis of volatility forecasting of the daily S&amp;P 500 data collected from Yahoo Finance for the daily spanning period 1\/3\/2006 to 20\/2\/2020. To our knowledge, this is the first study that focuses on the daily S&amp;P 500 data using high-frequency data and the fuzzy-EGARCH-ANN econometric model. Finally, the research finds that the best performing model in terms of one-step-ahead forecasts based on realized volatility computed from the underlying daily data series is the fuzzy-EGARCH-ANN (1,1,2,1) model with Student\u2019s t-distribution.<\/jats:p>","DOI":"10.1155\/2021\/6637091","type":"journal-article","created":{"date-parts":[[2021,12,25]],"date-time":"2021-12-25T02:20:07Z","timestamp":1640398807000},"page":"1-9","source":"Crossref","is-referenced-by-count":0,"title":["Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model"],"prefix":"10.1155","volume":"2021","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8489-0036","authenticated-orcid":true,"given":"Geleta T.","family":"Mohammed","sequence":"first","affiliation":[{"name":"Mathematics Department, Pan African University (PAU), Nairobi 62\u2009000 00\u2009200, Kenya"}]},{"given":"Jane A.","family":"Aduda","sequence":"additional","affiliation":[{"name":"Mathematics Department, Jomo Kenyatta University, Nairobi, Kenya"}]},{"given":"Ananda O.","family":"Kube","sequence":"additional","affiliation":[{"name":"Mathematics Department, Jomo Kenyatta University, Nairobi, Kenya"}]}],"member":"311","reference":[{"issue":"4","key":"1","first-page":"15","article-title":"A note on models\u2019 verification, validation and calibration","volume":"19","author":"M. A. Khatami Firouzabadi","year":"2012","journal-title":"The International Journal of Humanities"},{"key":"2"},{"volume-title":"Model Validation. Perspectives in Hydrological Science","year":"2001","author":"M. G. Anderson","key":"3"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.1016\/0377-2217(93)90316-f"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1016\/0377-2217(93)90310-j"},{"volume-title":"Verification And Validation In Computational Science And Engineering","year":"1998","author":"P. J. Roache","key":"6"},{"key":"7","doi-asserted-by":"publisher","DOI":"10.1016\/j.cma.2004.03.002"},{"issue":"10","key":"8","doi-asserted-by":"crossref","first-page":"1676","DOI":"10.1016\/j.measurement.2010.09.017","article-title":"Validation and verification methodology of GSM network call duration measurement system","volume":"43","author":"P. Ka\u0161konas","year":"2010","journal-title":"Measurement"},{"volume-title":"Simulation Model Calibration and Validation: Phase II: Development of Implementation Handbook and Short Course (No. FHWA\/VTRC 07-CR5)","year":"2006","author":"B. Park","key":"9"},{"key":"10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jenvman.2018.05.072"},{"key":"11","doi-asserted-by":"publisher","DOI":"10.1007\/s11269-017-1632-7"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1016\/j.jenvman.2019.03.137"},{"key":"13","doi-asserted-by":"publisher","DOI":"10.1007\/s40201-020-00530-8"},{"key":"14","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1979.10482531"},{"key":"15","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.335"},{"key":"16","doi-asserted-by":"publisher","DOI":"10.1007\/s40745-018-0151-6"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90103-8"},{"key":"18","doi-asserted-by":"publisher","DOI":"10.1155\/2020\/6871396"},{"key":"19","doi-asserted-by":"publisher","DOI":"10.1016\/j.asoc.2016.04.014"},{"key":"20","doi-asserted-by":"crossref","DOI":"10.1002\/0471746193","volume-title":"Analysis of Financial Time Series","author":"R. S. Tsay","year":"2005"},{"key":"21","doi-asserted-by":"publisher","DOI":"10.1109\/tevc.2009.2014613"},{"key":"22","doi-asserted-by":"publisher","DOI":"10.4236\/jmf.2020.104035"}],"container-title":["Applied Computational Intelligence and Soft Computing"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/acisc\/2021\/6637091.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/acisc\/2021\/6637091.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/acisc\/2021\/6637091.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,12,25]],"date-time":"2021-12-25T02:20:13Z","timestamp":1640398813000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/acisc\/2021\/6637091\/"}},"subtitle":[],"editor":[{"given":"Cheng-Jian","family":"Lin","sequence":"additional","affiliation":[]}],"short-title":[],"issued":{"date-parts":[[2021,12,24]]},"references-count":22,"alternative-id":["6637091","6637091"],"URL":"https:\/\/doi.org\/10.1155\/2021\/6637091","relation":{},"ISSN":["1687-9732","1687-9724"],"issn-type":[{"type":"electronic","value":"1687-9732"},{"type":"print","value":"1687-9724"}],"subject":[],"published":{"date-parts":[[2021,12,24]]}}}