The iid property of the model’s residuals is a crucial criterion for assessing the fit of the model to the data. GARCH-class models are the most commonly used nonlinear models in financial econometrics. In this paper various uni- and multivariate GARCH-class models were applied to selected...

A model of the short-term power system load forecasting based on fuzzy clustering is presented. It can be classified as similarity-based models relying on the assumption that if patterns of the time series sequences are similar, then the forecast patterns associated with them are also similar....

A concept of fractal dimension as a measure of risk in securities trading is presented in this paper. The two methods of calculating fractal dimension of time series – R/S analysis and segment-variation method are described and applied to indices of the Warsaw Stock Exchange.