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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-12-01
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| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/14/1/6 |