Open AccessVolatility Forecasting: The Support Vector Regression Can Beat the Random Walk
Author(s) -
Bezerra Pedro Correia Santos,
Albuquerque Pedro Henrique Melo
Publication year - 2019
Publication title -
economic computation and economic cybernetics studies and research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.258
H-Index - 18
eISSN - 1842-3264
pISSN - 0424-267X
DOI - 10.24818/18423264/53.4.19.07
Subject(s) - random walk , volatility (finance) , support vector machine , econometrics , beat (acoustics) , regression , computer science , statistics , artificial intelligence , economics , mathematics , physics , acoustics