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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

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 …

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

Asymmetric multivariate normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003651581

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008

Persistent link: https://www.econbiz.de/10003651587

Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models

Akgül, Işıl; Sayyan, Hülya - In: Applied financial economics 18 (2008) 4/6, pp. 463-482

Persistent link: https://www.econbiz.de/10003739179

Do common volatility models capture cyclical behaviour in volatility?

Clements, Adam; Collet, Jérôme - In: Applied financial economics 18 (2008) 7/9, pp. 599-604

Persistent link: https://www.econbiz.de/10003739247

Normal log-normal mixture, leptokurtosis and skewness

Yang, Minxian - In: Applied economics letters 15 (2008) 7/9, pp. 737-742

Persistent link: https://www.econbiz.de/10003741693

Negative volatility spillovers in the unrestricted ECCC-GARCH model

Conrad, Christian A. (contributor); … - 2008

allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …

Persistent link: https://www.econbiz.de/10003764299

The specification of GARCH models with stochastic covariates

Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of futures markets 28 (2008) 10, pp. 911-934

Persistent link: https://www.econbiz.de/10003769888

The effect of an interest-free banking system on level and volatility of inflation : a GARCH model

Eslamloueyan, Karim - In: Applied economics letters 15 (2008) 10/12, pp. 879-882

Persistent link: https://www.econbiz.de/10003785779

Volatility forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10002685057