Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting

• Extending the MSVR to the scenario of interval-valued time series forecasting.
• The parameters of MSVR are tuned using firefly algorithm (abbreviated to FA-MSVR).
• Assessing the forecasting ability of FA-MSVR on statistical and economic criteria.
• The experimental analysis is based on one- and multi-step-ahead forecasts.
• FA-MSVR is a promising method for interval forecasting of financial time series.

Highly accurate interval forecasting of a stock price index is fundamental to successfully making a profit when making investment decisions, by providing a range of values rather than a point estimate. In this study, we investigate the possibility of forecasting an interval-valued stock price index series over short and long horizons using multi-output support vector regression (MSVR). Furthermore, this study proposes a firefly algorithm (FA)-based approach, built on the established MSVR, for determining the parameters of MSVR (abbreviated as FA-MSVR). Three globally traded broad market indices are used to compare the performance of the proposed FA-MSVR method with selected counterparts. The quantitative and comprehensive assessments are performed on the basis of statistical criteria, economic criteria, and computational cost. In terms of statistical criteria, we compare the out-of-sample forecasting using goodness-of-forecast measures and testing approaches. In terms of economic criteria, we assess the relative forecast performance with a simple trading strategy. The results obtained in this study indicate that the proposed FA-MSVR method is a promising alternative for forecasting interval-valued financial time series.