Sökning: "ARCH-type models"

Hittade 5 uppsatser innehållade orden ARCH-type models.

  1. 1. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Wiklund; [2022]
    Nyckelord :GARCH; Model Confidence Set; Bitcoin; Volatility Forecasting; Business and Economics;

    Sammanfattning : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. LÄS MER

  3. 2. Predicting Stock Index Volatility Using Artificial Neural Networks: An empirical study of the OMXS30, FTSE100 & S&P/ASX200

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Johnsson; [2018]
    Nyckelord :artificial neural networks; volatility; ARCH-type models; Business and Economics;

    Sammanfattning : In this thesis I study the performances of artificial neural networks (ANNs) and three various ARCH-type models to predict weekly volatility of the Swedish (OMXS30), the British (FTSE100) and the Australian (S&P/ASX200) major stock indices. The three various ARCH-type models are the GARCH(1,1), the EGARCH(1,1) and the TGARCH(1,1). LÄS MER

  4. 3. Forecast Precision of Value at Risk: An Evaluation of ARCH-Type Models

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi; Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Jacob Lindberg; Alexander Matsson; [2016]
    Nyckelord :value at risk; volatility modelling; GARCH models; backtesting; asymmetric effects;

    Sammanfattning : Over the recent years, value at risk has become an industry standard for measuring downside market risk. This thesis aims to give a thorough differentiation between the different types of models used to estimate value at risk. LÄS MER

  5. 4. On Stochastic Volatility Models as an Alternative to GARCH Type Models

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Oscar Nilsson; [2016]
    Nyckelord :Stochastic Volatility; Heavy tails; GARCH; Markov Chain Monte Carlo;

    Sammanfattning : For the purpose of modelling and prediction of volatility, the family of Stochastic Volatility (SV) models is an alternative to the extensively used ARCH type models. SV models differ in their assumption that volatility itself follows a latent stochastic process. LÄS MER

  7. 5. Volatilitetsprognoser på den svenska aktiemarknaden: Tillämpning av Arch Typ modeller

    Master-uppsats, KTH/Fastigheter och byggande

    Författare :Philip Olsson; [2015]
    Nyckelord :ARCH 1 ; GARCH 1.1 ; TGARCH 1.1 ; volatility; forecasting; OMXS30; Sweden; ARCH 1 ; GARCH 1.1 ; TGARCH 1.1 ; volatilitet; prognoser; OMXS30; Sverige;

    Sammanfattning : .... LÄS MER