volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …'s conditional volatility during the post-crises period. Finally, announcements of GDP data and PMI index form production sector …

Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory … stock market crashes. Turning to the second moment of the return distribution, expected volatility, I consider mean …

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 …