Financial Volatility Forecasting by Least Square Support Vector Machine Based on GARCH, EGARCH and GJR Models: Evidence from ASEAN Stock Markets
نویسندگان
چکیده
منابع مشابه
Support Vector Machine and Least Square Support Vector Machine Stock Forecasting Models
This paper explores the Support Vector Machine and Least Square Support Vector Machine models in stock forecasting. Three prevailing forecasting techniques General Autoregressive Conditional Heteroskedasticity (GARCH), Support Vector Regression (SVR) and Least Square Support Vector Machine (LSSVM) are combined with the wavelet kernel to form three novel algorithms Wavelet-based GARCH (WL_GARCH)...
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ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2010
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v2n1p51