Forecasting stock volatility process using improved least square support vector machine approach
Sign Up to like & getrecommendations! Published in 2019 at "Soft Computing"
DOI: 10.1007/s00500-018-03743-0
Abstract: Considering that the stock returns distribution displays leptokurtosis as well as left-skewed properties, and the returns volatility process exhibits heteroscedasticity as well as clustering effects, the asymmetric GARCH-type models with non-Gaussian distributions (AGARCH-nG) are employed… read more here.
Keywords: forecasting stock; least square; volatility process; volatility ... See more keywords