Reducing overestimating and underestimating volatility via the augmented blending-ARCH modelq-fin.ST
New model improves volatility forecasting by reducing overestimation and underestimation.
problem SVR-GARCH model overestimates or underestimates volatility, hindering peak or trough behaviors.
method Proposes blending ARCH and augmented blending-ARCH models to improve volatility forecasting.
result Empirical results show improved volatility forecasting ability.