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Forecasting volatility based on wavelet support vector machine

✍ Scribed by Ling-Bing Tang; Ling-Xiao Tang; Huan-Ye Sheng

Book ID
108128013
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
192 KB
Volume
36
Category
Article
ISSN
0957-4174

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## Abstract Recently, support vector machine (SVM), a novel artificial neural network (ANN), has been successfully used for financial forecasting. This paper deals with the application of SVM in volatility forecasting under the GARCH framework, the performance of which is compared with simple movin