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Tagged with volatility cross-validation
3 questions
0
votes
0
answers
24
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Comparing models using different training sets
I try to compare the forecasting performance of several models. I do it for two situations: normal and extreme cases. My dataset set is not big.
One of the models (gradient boosting) requiers a ...
- 111
2
votes
1
answer
722
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The best way to compute the PRESS statistic
I would like to forecast the return volatility in a financial market. I am using symbolic regression/genetic programming to generate models with a good in-sample fit. I would like to compute ...
- 89
4
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2
answers
6k
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Fitting a GARCH model and forecast using validation set approach In R
I have seperated the data into training and testing data. Then I fitted this simple garch model for training data as follows,(using rugarch package)
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