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 …

volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso–US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. -- Composite Forecasts ; Forecast Evaluation ; GARCH …

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series. - Dynamic … Factor Models ; Multivariate GARCH ; Conditional Covariance ; Inflation Forecasting ; Volatility Forecasting …

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

time scale realized variance, realized range and implied volatility in daily, weekly, biweekly and monthly out … empirical findings, based on the S&P 500 stock index, indicate that almost all realized and implied volatility measures can … produce statistically and regulatory precise VaR forecasts across forecasting horizons, with the implied volatility being …

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

This paper proposes novel approaches to the modeling of attenuation bias effects in volatility forecasting. Our …