mlsanityData to 7 Oct 2026

Reducing overestimating and underestimating volatility via the augmented blending-ARCH model

arXiv 2203.12456 ↗First posted 15 Mar 2022q-fin.ST cs.LGcited by 5

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Abstract (arXiv)

SVR-GARCH model tends to "backward eavesdrop" when forecasting the financial time series volatility in which case it tends to simply produce the prediction by deviating the previous volatility. Though the SVR-GARCH model has achieved good performance in terms of various performance measurements, trading opportunities, peak or trough behaviors in the time series are all hampered by underestimating or overestimating the volatility. We propose a blending ARCH (BARCH) and an augmented BARCH (aBARCH) model to overcome this kind of problem and make the prediction towards better peak or trough behaviors. The method is illustrated using real data sets including SH300 and S&P500. The empirical results obtained suggest that the augmented and blending models improve the volatility forecasting ability.

Key facts. Cited by 5 papers in the map (data through 7 Oct 2026). Builds on 6 of its 59 references that are in the map. First posted on arXiv 15 Mar 2022.

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6 of 59 references.

References · 6

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  3. 2021A rigorous introduction to linear modelscited by 4
  4. 2022Exploring Classic Quantitative Strategiescited by 4
  5. 2017Machine learning modeling for time series problem: Predicting flight ticket pricescited by 2
  6. 2017Hyperprior on symmetric Dirichlet distributioncited by 2

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Citing papers per year: 2022: 5.

5 papers.