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Hybrid HAR-SVR Model for Volatility Forecasting by irfananshorisitorus is a document available to read on EtoBox.

This study proposes two hybrid models for forecasting realized volatility (RV) using a combination of the heterogeneous autoregressive (HAR) model and support vector regression (SVR). The first model predicts RV residuals with SVR after initial HAR predictions, while the second model adjusts weights for both models

Author

irfananshorisitorus

Language

EN