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Entrepreneurship and Sustainability Issues Open access
Journal Impact FactorTM (2022) 1.7
Journal Citation IndicatorTM (2022) 0.42
Received: 2014-05-18  |  Accepted: 2014-07-20  |  Published: 2014-09-30

Title

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


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.


Keywords

volatility, FTSE, clustering, fuzzy number, labeling


JEL classifications

C10 , G00


URI

http://jssidoi.org/jesi/article/32


DOI


Pages

30-36


This is an open access issue and all published articles are licensed under a
Creative Commons Attribution 4.0 International License

Authors

Peker, Sinem
Yasar University, İzmir, Turkey https://www.yasar.edu.tr
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Tvaronavičienė, Manuela
Vilnius Gediminas Technical University (VILNIUS TECH), Vilnius, Lithuania https://vilniustech.lt
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Aktan, Bora
University of Bahrain, Isa Town, Bahrain http://www.uob.edu.bh
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Journal title

Entrepreneurship and Sustainability Issues

Volume

2


Number

1


Issue date

September 2014


Issue DOI


ISSN

ISSN 2345-0282 (online)


Publisher

VšĮ Entrepreneurship and Sustainability Center, Vilnius, Lithuania

Cited

Google Scholar

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References