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Sustainable risk management: fuzzy approach to volatility and application on FTSE 100 index

Author

Listed:
  • Sinem Peker

    (Yasar University, Turkey)

  • Manuela Tvaronavičienė

    (Vilnius Gediminas Technical University (VILNIUS TECH), Lithuania)

  • Bora Aktan

    (University of Bahrain, Bahrain)

Abstract

In this paper, a fuzzy volatility labeling algorithm is offered to detect the periods with abnormal activities on daily share returns. Considering the vagueness in the switches of the time periods, the membership functions of high and normal volatility classes are introduced. In the assignments, both the density structure and membership degree are used. It is believed that this algorithm may be helpful to construct different estimation models for the time periods with normal and abnormal activities. Authors offer algorithm, which can be used as a tool for sustainable risk management.

Suggested Citation

  • Sinem Peker & Manuela Tvaronavičienė & Bora Aktan, 2014. "Sustainable risk management: fuzzy approach to volatility and application on FTSE 100 index," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 2(1), pages 30-36, September.
    • Handle: RePEc:ssi:jouesi:v:2:y:2014:i:1:p:30-36
    DOI: 10.9770/jesi.2014.2.1(4)
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    Citations

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    Cited by:

    1. Manuela Tvaronavičienė, 2016. "Entrepreneurship and energy consumption patterns: case of hoseholds in selected countries," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 4(1), pages 74-82, September.

    More about this item

    Keywords

    volatility; FTSE; clustering; fuzzy number; labeling;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G00 - Financial Economics - - General - - - General

    Statistics

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