Browsing Department of Mathematics by Author "Waagbø, Arne Ladstein"
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APARCH Models Estimated by Support Vector Regression
Waagbø, Arne Ladstein (Master thesis, 2021-06-01)This thesis presents a comprehensive study of asymmetric power autoregressive conditional heteroschedasticity (APARCH) models for modelling volatility in financial return data. The goal is to estimate and forecast volatility ...