基于灰色支持向量机的基金波动率预测研究

Volatility forecasting for fund market using grey support vector machine

鉴于灰色预测方法和支持向量机各自的优点,将灰色预测方法与支持向量机相结合,建立灰色支持向量机模型,并以极差替代收益的标准差度量波动率,运用新模型对深圳基金波动率进行实例分析。通过与v-支持向量机的预测结果对比,发现所提出的模型适合于基金波动率的中短期预测。

As for the advantages of grey forecasting method and support Cector machine, this paper proposed a grey support vector machine model and applied it to forecasting Shenzhen fund volatility in which volatility was measured using range instead of return＇ s standard deviation. Compared with the forecasting results of v-support vector machine, the new model by this paper was applicable to forecasting short- and middle-term fund volatility.