In Support Vector (SV) regression, a parameter nu controls the number of Support Vectors and the number of points that come to lie outside of the so-called epsilon-insensitive tube. For various noise models and SV parameter settings, we experimentally determine the values of nu that lead to the lowest generalization error. We find good agreement with the values that had previously been predicted by a theoretical argument based on the asymptotic efficiency of a simplified model of SV regression. As a side effect of the experiments, valuable information about the generalization behavior of the remaining SVM parameters and their dependencies is gained. The experimental findings are valid even for complex 'real-world' data sets. Based on our results on the role of the nu-SVM parameters, we discuss various model selection methods.