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Table 9 Portfolio performance based on the various AIRO index return forecasting models including transaction cost

From: A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting

Model

\(\gamma\) = 3

\(\gamma\) = 6

CER

R

CER

R

GARCH

6.0206

9.3271

5.8226

8.5831

ICSS-GARCH

6.1165

9.3118

5.9793

9.2696

PSO-LSSVM

6.1306

9.4493

6.2501

9.3859

EEMD-GARCH

6.9194

10.4653

6.6018

9.7862

EEMD-ICSS-GARCH

7.0716

10.1235

6.9803

10.0194

EEMD-PSO-LSSVM

6.5572

10.2998

6.3590

10.2606

EEMD-PSO-LSSVM-GARCH(A)

8.1190

11.0244

7.2438

11.0990

EEMD-PSO-LSSVM-GARCH(B)

8.0180

11.3953

7.1586

11.4274

EEMD-PSO-LSSVM-ICSS-GARCH(A)

8.9445

13.0896

7.6390

12.9952

EEMD-PSO-LSSVM-ICSS-GARCH(B)

9.1566

12.5948

7.5882

11.9839

  1. The underlined numbers indicate that the corresponding models have the highest R or CER among all models