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Forecasting volatility with support vector machine-based GARCH model

Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433

Persistent link: https://www.econbiz.de/10003989791

Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns

Chen, Shiyi - 2017

In recent years, support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a...

Persistent link: https://www.econbiz.de/10012966267

Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

Persistent link: https://www.econbiz.de/10003636113