Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns
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More about this item
Keywordsrecurrent support vector regression; GARCH model; volatility forecasting;
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-09 (All new papers)
- NEP-ECM-2008-02-09 (Econometrics)
- NEP-ETS-2008-02-09 (Econometric Time Series)
- NEP-FMK-2008-02-09 (Financial Markets)
- NEP-FOR-2008-02-09 (Forecasting)
- NEP-RMG-2008-02-09 (Risk Management)
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