Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often … characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models …

time diffusion models ; models with jumps ; stochastic volatility ; GARCH …

) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …

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 …