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This is the first I've heard of this network type. I really do not know anything about it, so I am not sure how close Encog would be to supporting it. I plan to take a look, though.
Here is a list I've found of some implementations of it.
http://www.gmdh.net/GMDH_sof.htm
Thanks for the answer.
'Inductive Learning Algorithms for Complex Systems Modeling' - chapter 8.
That caused my brain to bleed.
GMDH may be useful it to help the financial prediction side - this paper demonstrates they were able to achieve a significantly higher prediction rate with a GMDH Neural network as opposed to a Multi layered feed forward network.
http://www.eurojournals.com/mefe-6_06.pdf