A Novel Fuzzy Time Series Forecasting Model Based on Multiple Linear Regression and Time Series Clustering

Table 3

Comparison of RMSEs and average RMSEs for different FTS methods for forecasting the TAIEX from 1999 to 2004.

Models	1999	2000	2001	2002	2003	2004	Average
Chen’s model [4]
Use NASDAQ	123.64	131.10	115.08	73.06	66.36	60.48	94.95
Use Dow Jones	101.97	148.85	113.70	79.81	64.08	82.32	98.46
Use M1B	156.92	142.70	132.76	96.06	90.27	100.10	119.80
Use Dow Jones and NASDAQ	106.34	130.13	113.33	72.33	60.29	68.07	91.75
Use NASDAQ and M1B	116.22	134.63	116.59	76.48	53.51	69.29	94.45
Use NASDAQ and Dow Jones and M1B	111.7	129.42	113.67	66.82	56.1	64.76	90.41
Chen’s model [6]
Use Dow Jones	115.47	127.51	121.98	74.65	66.02	58.89	94.09
Use NASDAQ	119.32	129.87	123.12	71.01	65.14	61.94	95.07
Use M1B	120.01	129.87	117.61	85.85	63.10	67.29	97.29
Use Dow Jones and NASDAQ	116.64	123.62	123.85	71.98	58.06	57.73	91.98
Use Dow Jones and M1B	116.59	127.71	115.33	77.96	60.32	65.86	93.96
Use NASDAQ and M1B	114.87	128.37	123.15	74.05	67.83	65.09	95.58
Use NASDAQ and Dow Jones and M1B	112.47	131.04	117.86	77.38	60.65	65.09	94.08
Chen’s model [3]
Use NASDAQ	123.64	131.10	115.08	73.06	66.36	60.48	94.95
Use Dow Jones	101.97	148.85	113.70	79.81	64.08	82.32	98.46
Use M1B	156.92	142.70	132.76	96.06	90.27	100.10	119.80
Use Dow Jones and NASDAQ	106.34	130.13	113.33	72.33	60.29	68.07	91.75
Use NASDAQ and M1B	116.22	134.63	116.59	76.48	53.51	69.29	94.45
Use NASDAQ and Dow Jones and M1B	111.70	129.42	113.67	66.82	56.10	64.76	90.41
Chen’s model [10]
Use Dow Jones	102.34	131.25	113.62	65.77	52.23	56.16	86.89
Use NASDAQ	102.11	131.30	113.83	66.45	52.83	54.17	86.78
Use M1B	103.52	131.36	112.55	66.23	53.20	55.36	87.04
Chen’s model [7]
Use Dow Jones	103.90	127.32	115.37	64.71	52.84	53.36	86.25
Use NASDAQ	104.99	124.52	114.66	64.79	53.63	52.96	85.93
Use M1B	105.61	127.37	115.46	66.07	53.67	53.30	86.91
Chen’s model [8]
Use TAIFEX	100.83	122.20	120.30	72.23	56.89	55.40	87.98
Use Dow Jones	99.87	122.75	117.18	68.45	53.96	52.55	85.79
Use NASDAQ	102.60	119.98	114.81	69.07	53.16	53.57	85.53
Use M1B	101.22	123.99	117.75	70.63	54.92	55.29	87.30
Use Dow Jones and NASDAQ	101.33	121.27	114.48	67.18	52.72	52.27	84.88
Use Dow Jones and M1B	100.59	124.10	116.28	68.11	53.50	53.33	85.99
Use NASDAQ and M1B	102.25	122.47	115.02	68.51	52.82	53.99	85.84
Use NASDAQ and Dow Jones and M1B	101.47	122.88	114.47	67.17	52.49	52.84	85.22
Cai’s model [11]	102.22	131.53	112.59	60.33	51.54	50.33	84.75
Cheng’s model [12]	100.74	125.62	113.04	62.94	51.46	54.25	84.68
Yolca’s model [38]		113.38	110.89	58.68	50.07	51.60	76.92
Vovan’s model [32]	73.07	85.28	78.74	52.21	77.05	39.78	67.69
The proposed model	40.91	46.68	41.16	30.21	28.13	31.34	36.40