A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression
Year of publication: |
2024
|
---|---|
Authors: | Zhuo, Yue ; Morimoto, Takayuki |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 1, Art.-No. 12, p. 1-16
|
Subject: | forecasting | realized volatility | heterogeneous autoregressive model | support vector regression | TOPIX 30 | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Theorie | Theory | Prognose | Forecast | Börsenkurs | Share price | Mustererkennung | Pattern recognition | Autokorrelation | Autocorrelation | Schätzung | Estimation | Wechselkurs | Exchange rate |
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