varılmaktadır. The study aims to augment commonly applied volatility models with support vector machines and neural networks. The … returns in Istanbul ISE100 stock index. Results suggest that volatility clustering, asymmetry and nonlinearity characteristics …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

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 …

small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

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 …