Abstract: Modelling realized volatility with high-frequency returns is popular as it is an unbiased and efficient estimator of return volatility. A computationally simple model is fitting the logarithms of the realized volatilities with a fractionally integrated long-memory Gaussian process. The Gaussianity assumption simplifies the parameter estimation using the Whittle approximation. Nonetheless, this assumption may not be met in the finite samples and there may be a need to normalize the financial series. Based on the empirical indices S&P500 and DAX, this paper examines the performance of the linear volatility model pre-treated with normalization compared to its existing counterpart. The empirical results show that by including normalization as a pre-treatment procedure, the forecast performance outperforms the existing model in terms of statistical and economic evaluations.
Abstract: The paper investigates the potential of support vector
machines and Gaussian process based regression approaches to
model the oxygen–transfer capacity from experimental data of
multiple plunging jets oxygenation systems. The results suggest the
utility of both the modeling techniques in the prediction of the
overall volumetric oxygen transfer coefficient (KLa) from operational
parameters of multiple plunging jets oxygenation system. The
correlation coefficient root mean square error and coefficient of
determination values of 0.971, 0.002 and 0.945 respectively were
achieved by support vector machine in comparison to values of
0.960, 0.002 and 0.920 respectively achieved by Gaussian process
regression. Further, the performances of both these regression
approaches in predicting the overall volumetric oxygen transfer
coefficient was compared with the empirical relationship for multiple
plunging jets. A comparison of results suggests that support vector
machines approach works well in comparison to both empirical
relationship and Gaussian process approaches, and could successfully
be employed in modeling oxygen-transfer.