基于灰色支持向量机的基金波动率预测研究

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。

Volatility forecasting for fund market using grey support vector machine

As for the advantages of grey forecasting method and support vector 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.