The problem related to predicting dynamic volatility in financial market
plays a crucial role in many contexts. We build a new generalized
Barndorff-Nielsen and Shephard (BN-S) model suitable for uncertain environment
with fuzziness and randomness. This new model considers the delay phenomenon
between price fluctuation and volatility changes, solves the problem of the
lack of long-range dependence of classic models. Through the experiment of Dow
Jones futures price, we find that compared with the classical model, this
method effectively combines the uncertain environmental characteristics, which
makes the prediction of dynamic volatility has more ideal performance