volatility level in a regime when the exchange rates are severely misaligned. There is also evidence in such a regime for a … negative return innovation to elicit higher levels of volatility than a positive innovation of equal magnitude. The presence of … asymmetric volatility in exchange rate returns may be a result of active central bank intervention …

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 …