Forecasting Stock Market Volatility Using Hybrid of Adaptive Network of Fuzzy Inference System and Wavelet Functions

Table 6

The WT function of output variable for 20% dataset.

Models		ME	RMSE	MAE	MPE
ANFIS	—	3.1721832	3.2151644	3.1782445	82.8745374
ANFIS + Haar	ARIMA(0, 1, 1) with drift	3.1615475	3.1830709	3.1650890	81.4528974
ANFIS + Db4	ARIMA(0, 1, 0)	3.2816144	3.2816653	3.2816144	86.2793642
ANFIS + LA-8	ARIMA(1, 1, 0) with drift	3.1677598	3.1678125	3.1677598	80.8652744
ANFIS + BL14	ARIMA(1, 1, 0) with drift	3.2463071	3.2463585	3.2463071	84.5660539
ANFIS + C6	ARIMA(1, 1, 0) with drift	3.2132334	3.2132853	3.2132334	82.9894738
ANFIS + ARIMA direct	ARIMA(3, 2, 0)	3.3292731	3.3513009	3.3317951	89.6907631