A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression

A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression

In this study, we proposed two types of hybrid models based on the heterogeneous autoregressive (HAR) model and support vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is first predicted using the HAR model, and the residuals...

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Bibliographic Details
Main Authors: Yue Zhuo, Takayuki Morimoto
Format: Article
Language:English
Published: MDPI AG 2024-01-01
Series:Risks
Subjects:
forecasting
realized volatility
heterogeneous autoregressive model
support vector regression
TOPIX 30
Online Access:https://www.mdpi.com/2227-9091/12/1/12

Internet

https://www.mdpi.com/2227-9091/12/1/12

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