• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.83-93
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• 2020

This empirical research aims to modeling and improving the forecasting accuracy of the volatility pattern by employing the Saudi Arabia stock market (Tadawul)by studying daily closed price index data from October 2011 to December 2019 with a number of observations being 2048. In order to achieve significant results, this study employs many mathematical functions which are non-linear spectral model Maximum overlapping Discrete Wavelet Transform (MODWT) based on the best localized function (Bl14), autoregressive integrated moving average (ARIMA) model and generalized autoregressive conditional heteroskedasticity (GARCH) models. Therefore, the major findings of this study show that all the previous events during the mentioned period of time will be explained and a new forecasting model will be suggested by combining the best MODWT function (Bl14 function) and the fitted GARCH model. Therefore, the results show that the ability of MODWT in decomposition the stock market data, highlighting the significant events which have the most highly volatile data and improving the forecasting accuracy will be showed based on some mathematical criteria such as Mean Absolute Percentage Error (MAPE), Mean Absolute Scaled Error (MASE), Root Means Squared Error (RMSE), Akaike information criterion. These results will be implemented using MATLAB software and R- software.

• The Korean Journal of Applied Statistics
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• v.31 no.6
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• pp.785-799
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• 2018

With the development of renewable energy sector, the importance of solar energy is continuously increasing. Solar radiation forecasting is essential to accurately solar power generation forecasting. In this paper, we used time series models (ARIMA, ARIMAX, seasonal ARIMA, seasonal ARIMAX, ARIMA GARCH, ARIMAX-GARCH, seasonal ARIMA-GARCH, seasonal ARIMAX-GARCH). We compared the performance of the models using mean absolute error and root mean square error. According to the performance of the models without exogenous variables, the Seasonal ARIMA-GARCH model showed better performance model considering the problem of heteroscedasticity. However, when the exogenous variables were considered, the ARIMAX model showed the best forecasting accuracy.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.63 no.11
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• pp.1497-1502
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• 2014

Electric load forecasting is essential for stable electric power supply, efficient operation and management of power systems, and safe operation of power generation systems. The results are utilized in generator preventive maintenance planning and the systemization of power reserve management. Development and improvement of electric load forecasting model is necessary for power system maintenance and operation. This paper proposes daily maximum electric load forecasting methods for the next 4 weeks with a seasonal autoregressive integrated moving average model and an exponential smoothing model. According to the results of forecasting of daily maximum electric load forecasting for the next 4 weeks of March, April, November 2010~2012 using the constructed forecasting models, the seasonal autoregressive integrated moving average model showed an average error rate of 6,66%, 5.26%, 3.61% respectively and the exponential smoothing model showed an average error rate of 3.82%, 4.07%, 3.59% respectively.

• Journal of Intelligence and Information Systems
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• v.4 no.2
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• pp.23-34
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• 1998

Travel time forecasting, especially public bus travel time forecasting in urban areas, is a difficult and complex problem which requires a prohibitively large computation time and years of experience. As the network of target area grows with addition of streets and lanes, computational burden of the forecasting systems exponentially increases. Even though the travel time between two neighboring intersections is known a priori, it is still difficult, if not impossible, to compute the travel time between every two intersections. For the reason, previous approaches frequently have oversimplified the transportation network to show feasibilities of the problem solving algorithms. In this paper, forecasting of the travel time between every two intersections is attempted based on travel time data between two neighboring intersections. The time stamps data of public buses which recorded arrival time at predetermined bus stops was extensively collected and forecast. At first, the time stamp data was categorized to eliminate white noise, uncontrollable in forecasting, based on wavelet conversion. Then, the radial basis neural networks was applied to remaining data, which showed relatively accurate results. The success of the attempt was confirmed by the drastically reduced relative error when the nodes between the target intersections increases. In general, as the number of the nodes between target intersections increases, the relative error shows the tendency of sharp increase. The experimental results of the novel approaches, based on wavelet conversion and neural network teaming mechanism, showed the forecasting methodology is very promising.

• The Transactions of the Korean Institute of Electrical Engineers A
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• v.53 no.6
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• pp.358-363
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• 2004

Due to the weather sensitivity of the power load, it is difficult to forecast accurately the peak power load of summer season. We improve the accuracy of the load forecasting considering weather condition. We introduced the sensitivity of temperature and proposed an improved forecasting algorithm. The proposed algorithm shows that the error of the load forecasting is 1.5%.

• Journal of Intelligence and Information Systems
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• v.15 no.4
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• pp.37-51
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• 2009

One of the critical issues in the management of manufacturing companies is the efficient process of planning and operating service resources such as human, parts, and facilities, and it begins with the accurate service demand forecasting. In this research, service and sales data from the LCD monitor manufacturer is considered for an empirical study on Product Life Cycle (PLC) based service demand forecasting. The proposed PLC forecasting approach consists of four steps : understanding the basic statistics of data, clustering models using a self-organizing map, developing respective forecasting models for each segment, comparing the accuracy performance. Empirical experiments show that the PLC approach outperformed the traditional approaches in terms of root mean square error and mean absolute percentage error.

• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.93-104
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• 2022

In forecasting realized volatility of the major US stock price indexes (S&P 500, Russell 2000, DJIA, Nasdaq 100), internet search volume reflecting investor's interests and implied volatility are used to improve forecast via a deep learning method of the LSTM. The LSTM method combined with search volume index produces better forecasts than existing standard methods of the vector autoregressive (VAR) and the vector error correction (VEC) models. It also beats the recently proposed vector error correction heterogeneous autoregressive (VECHAR) model which takes advantage of the cointegration relation between realized volatility and implied volatility.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.66 no.3
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• pp.493-499
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• 2017

This paper proposes a combined very-short-term and short-term multi-variate time-series model for 24 hour load forecasting. First, the best model for very-short-term and short-term load forecasting is selected by considering the least error value, and then they are combined by the optimal forecasting time. The actual load data of industry complex is used to show the effectiveness of the proposed model. As a result the load forecasting accuracy of the combined model has increased more than a single model for 24 hour load forecasting.

• International Journal of Fuzzy Logic and Intelligent Systems
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• v.13 no.1
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• pp.39-49
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• 2013

This paper presents a method of improving the performance of a day-ahead 24-h load curve and peak load forecasting. The next-day load curve is forecasted using radial basis function (RBF) neural network models built using the best design parameters. To improve the forecasting accuracy, the load curve forecasted using the RBF network models is corrected by the weighted sum of both the error of the current prediction and the change in the errors between the current and the previous prediction. The optimal weights (called "gains" in the error correction) are identified by differential evolution. The peak load forecasted by the RBF network models is also corrected by combining the load curve outputs of the RBF models by linear addition with 24 coefficients. The optimal coefficients for reducing both the forecasting mean absolute percent error (MAPE) and the sum of errors are also identified using differential evolution. The proposed models are trained and tested using four years of hourly load data obtained from the Korea Power Exchange. Simulation results reveal satisfactory forecasts: 1.230% MAPE for daily peak load and 1.128% MAPE for daily load curve.

• International Journal of Computer Science & Network Security
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• v.21 no.2
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• pp.77-87
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• 2021

In this study, a novel improved second order Radial Basis Function Neural Network based method with excellent scheduling capabilities is used for the dynamic prediction of short and long-term energy required applications. The effectiveness and the reliability of the algorithm are evaluated using training operations with New England-ISO database. The dynamic prediction algorithm is implemented in Matlab and the computation of mean absolute error and mean absolute percent error, and training time for the forecasted load, are determined. The results show the impact of temperature and other input parameters on the accuracy of solar Photovoltaic load forecasting. The mean absolute percent error is found to be between 1% to 3% and the training time is evaluated from 3s to 10s. The results are also compared with the previous studies, which show that this new method predicts short and long-term load better than sigmoidal neural network and bagged regression trees. The forecasted energy is found to be the nearest to the correct values as given by England ISO database, which shows that the method can be used reliably for short and long-term load forecasting of any electrical system.