Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression

Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression

We compare the forecasting performance of the generalized autoregressive conditional heteroscedasticity (GARCH) -type models with support vector regression (SVR) for futures contracts of selected energy commodities: Crude oil, natural gas, heating oil, gasoil and gasoline. The GARCH models are commo...

Full description

Bibliographic Details
Main Authors: Marcin Fałdziński, Piotr Fiszeder, Witold Orzeszko
Format: Article
Language:English
Published: MDPI AG 2021-12-01
Series:Energies
Subjects:
energy commodities
futures contracts
volatility
forecasting
GARCH models
support vector regression
Online Access:https://www.mdpi.com/1996-1073/14/1/6

Internet

https://www.mdpi.com/1996-1073/14/1/6

Similar Items