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Forecasting Financial Returns Volatility: A GARCH-SVR Model · Study

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ArticleForecasting Financial Returns Volatility: A GARCH-SVR Model

Hao Sun2019

Article2019

Forecasting Financial Returns Volatility: A GARCH-SVR Model

Hao Sun · Bo Yu

54 citations·0/0 files stored·Computational Economics

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1994Chapter 49 Arch models 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts 2001Financial Forecasting Using Support Vector Machines

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Year2019

Typearticle

Published2019-05-13

VenueComputational Economics

ISSN-L0927-7099

Languageen

Citations54

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10614-019-09896-w

openalex_workW2946461644

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