Novel grey wolf optimizer based parameters selection for GARCH and ARIMA models for stock price prediction

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PeerJ Computer Science

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Introduction

  • Grey wolf optimizer is considered to select the best parameters in ARIMA and GARCH models.

  • GWO-ARIMA and GWO-GARCH method is used to predict the stock prices.

Literature Reviews

Methodology

GWO method for parameter selection in ARIMA and GARCH model

 
_______________________ 
Algorithm 1 GWO-based parameter selection for ARIMA and GARCH model 
algorithm___________________________________________________________________________________________ 
  1:  The population of grey wolves Gi (i = 1,2,...,n) is created in a random 
     manner. 
  2:  Assign the initial value of the variable ”a” as 2 using − → A = − → 2a− → r1 −− → a1 and 
     − → C = 2−→ r 
2 
  3:  Compute the fitness level of every individual within the population using 
     RMSE, MSE, and MAE metrics for below wolves. − → 
  G1 = − → Gα −− → A1.− →Dα 
    − → G2 = − → Gβ −− → A2.− →Dβ 
    − → G3 = − → Gδ −− → A3.− →Dδ 
 4:  Identify the wolves with the highest, second-highest, and third-highest fit- 
     ness values, respectively, as the alpha, beta, and delta wolves. 
  5:  For the range of values of t from 1 to the maximum number of iterations, 
     update the parameters: 
     − → D 
α = ∣ ∣ 
∣− − → C1.− − − → G 
α−− → G∣ ∣ 
        ∣ 
  − → D 
β = ∣ ∣ 
∣− − → C2.− − → G 
β−− → G∣ ∣ 
        ∣ 
  − → D 
δ = ∣ ∣ 
∣− − → C3.− − → G 
δ−− → G∣ ∣ 
       ∣ 
 6:  Select the best solution by taking the average of 3 wolves.  − → G(t + 1) = 
     − → G1 
+− →G2 
+− →G3 
       3_______________________________________________________________________________________________________________    

Results Analysis

Conclusions

Supplemental Information

Additional Information and Declarations

Competing Interests

The authors declare no conflict of interest.

Author Contributions

Sneha S Bagalkot conceived and designed the experiments, performed the experiments, analyzed the data, performed the computation work, prepared figures and/or tables, authored or reviewed drafts of the article, and approved the final draft.

Dinesha H A conceived and designed the experiments, performed the computation work, authored or reviewed drafts of the article, and approved the final draft.

Nagaraj Naik conceived and designed the experiments, performed the experiments, analyzed the data, performed the computation work, prepared figures and/or tables, authored or reviewed drafts of the article, and approved the final draft.

Data Availability

The following information was supplied regarding data availability:

The code is available in the Supplemental File.

The data is available at NSE Historical Reports: https://www.nseindia.com/resources/historical-reports-capital-market-daily-monthly-archives.

Funding

The authors received no funding for this work.

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