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Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

Persistent link: https://www.econbiz.de/10003636113

Forecasting volatility with support vector machine-based GARCH model

Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433

Persistent link: https://www.econbiz.de/10003989791

Support Vector Machine GARCH and Neural Network GARCH Models in Modeling Conditional Volatility : An Application to Turkish Financial Markets

Bildirici, Melike - 2013

The Turkish version of this paper can be found at: "http://ssrn.com/abstract=2222071" http://ssrn.com/abstract=2222071The study aims to investigate linear GARCH, fractionally integrated FI-GARCH and Asymmetric Power APGARCH models and their nonlinear counterparts based on Support Vector...

Persistent link: https://www.econbiz.de/10013085814

Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns

Chen, Shiyi - 2017

In recent years, support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a...

Persistent link: https://www.econbiz.de/10012966267

Volatility forecasting using support vector regression and a hybrid genetic algorithm

Santamaría-Bonfil, Guillermo; Frausto-Solís, Juan; … - In: Computational economics 45 (2015) 1, pp. 111-133

Persistent link: https://www.econbiz.de/10010511334

Koşullu Volatilitenin Modellenmesinde Destek Vektör Makinesi GARCH Modeli Ve Türk Finans Piyasaları Üzerine Bir Uygulama (Support Vector Machine GARCH Model in Modelling Conditiona...

Bildirici, Melike - 2013

The English version of this paper can be found at: "http://ssrn.com/abstract=2227747" http://ssrn.com/abstract=2227747Çalışma, temel GARCH modelinin Destek Vektör Makinesi ve Yapay Sinir Ağları ile iyileştirilmiş modellerin incelenerek GARCH modelinin tahmin performansının...

Persistent link: https://www.econbiz.de/10013086361