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CARRX model is a new volatility model. This paper applies least squares support vector regression to the CARRX model and a LSSVR-based CARRX model is established for predicting the range volatility of Chinese stock index. Out-of-sample forecasting results of using the LSSVR-CARRX model are compared with that of the ANN-CARRX model. Empirical results show that for the RMSE, MAE, MPE, Theil and Mincer-Zarnowitz...
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