Using qualitative approach to forecasting regime switches |
| |
Authors: | Kun-Huang Huarng Tiffany Hui-Kuang Yu |
| |
Institution: | 1.Department of International Trade,Feng Chia University,Taichung,Taiwan;2.Department of Public Finance,Feng Chia University,Taichung,Taiwan |
| |
Abstract: | Drastic changes (named regime switches) often exist in economic and financial time series causing the forecasting of time series difficult. Hence, we need robust models to detect and forecast the regime switches. Most previous studies apply quantitative methods to forecast time series and regime switches. Contrast to these studies, this study attempts a novel approach to use a qualitative method to forecast regime switches. Fuzzy set/qualitative comparative analysis (fsQCA), based on fuzzy set and logic theory, yields the relationships between antecedent combinations and outcome. Studies support fsQCA analysis is more proper to reflect the real situations. Hence, this study uses fsQCA to analyze the autoregressive relationships of the upward and downward regime switches in the in-sample data. Then, the relationships are used to forecast the regime switches in the out-of-sample data. Taiwan Capitalization Weighted Stock Index is taken as the data for analysis. The empirical results show that fsQCA provides strong predictive validities. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|