Forecasting Financial Returns Volatility: A GARCH-SVR Model
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DOI: 10.1007/s10614-019-09896-w
Abstract: Support vector regression (SVR) is a semiparametric estimation method that has been used extensively in the forecasting of financial time series volatility. In this paper, we seek to design a two-stage forecasting volatility method by… read more here.
Keywords: garch svr; svr models; svr; volatility ... See more keywords