PCA BASED SUPPORT VECTOR MACHINE TECHNIQUE FOR VOLATILITY FORECASTING
نویسندگان
چکیده
منابع مشابه
Pca Based Support Vector Machine Technique for Volatility Forecasting
Conditional Volatility of stock market returns is one of the major problems in time series analysis. Support Vector Machine (SVM) has been applied for volatility estimation of stock market data with limited success, the limitation being in accurate volatility feature predictions due to general kernel functions. However, since Principal Component Analysis(PCA) technique yields good characteristi...
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ژورنال
عنوان ژورنال: International Journal of Research in Engineering and Technology
سال: 2014
ISSN: 2321-7308,2319-1163
DOI: 10.15623/ijret.2014.0308060