financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …

volatility. The study investigates whether the asymmetric effects of good and bad news on volatility is present and how … distributional assumptions affect the selection of GARCH models. Compared to two widely used historical volatility models, the simple … the forecasts of loan market volatility. The model comparison involves a regression-based approach, loss functions and …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … feature of durations generated by the MSMD process propagates to counts and realized volatility. We employ a quasi …

This study employs big data and text data mining techniques to forecast financial market volatility. We incorporate … financial information from online news sources into time series volatility models. We categorize a topic for each news article … volatility. The results of our empirical analysis suggest that the proposed models can contribute to improving forecasting …

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong …, most importantly, can be exploited in real time. Current realized volatility has the most information content on the … volatility is low, the predicted distribution of returns is less dispersed and probabilistic forecasts are sharper. Given this …