Sökning: "Conditional Heteroscedasticity"

Visar resultat 1 - 5 av 16 uppsatser innehållade orden Conditional Heteroscedasticity.

  1. 1. The Sensitivity of Banks' Stock Returns to the interest rate risk and exchange rate risk: A Case Study of Germany and South Africa

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Priscilla Yayra Kpoti-Mayor; Rutendo Yvonne Musimwa; [2022]
    Nyckelord :Bank s Stock Returns Interest rate Exchange Rate Germany South Africa; Business and Economics;

    Sammanfattning : The purpose of this paper is to interrogate the single and joint effect interest and exchange rate movements have on banks’ stock returns. This study also aims to compare the volatility of the banks’ stock returns for countries in different markets using both the short and long-term interest rate and the respective exchange rates. LÄS MER

  3. 2. Business analytics tools for data collection and analysis of COVID-19

    Master-uppsats, Linköpings universitet/Statistik och maskininlärning

    Författare :Härje Widing; [2021]
    Nyckelord :COVID-19; SARS-CoV-2; Pandemic; Business Intelligence; Seasonal Artificial Neural Network; Generalized Autoregressive Conditional Heteroscedasticity; Power BI;

    Sammanfattning : The pandemic that struck the entire world 2020 caused by the SARS-CoV-2 (COVID-19) virus, will have an enormous interest for statistical and economical analytics for a long time. While the pandemic of 2020 is not the first that struck the entire world, it is the first pandemic in history where the data were gathered to this extent. LÄS MER

  4. 3. Calendar Anomalies in the Nordic Stock Markets : A quantitative study of the Sell in May effect, January effect & Monthly Anomalies

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Christopher Edberg; Oliver Kjellander; [2021]
    Nyckelord :Calendar Anomalies; January effect; April effect; Sell in May effect; Monthly Anomalies; Newey-West Generalized Auto-Regressive Conditional Heteroscedasticity GARCH ; Nordic Stock markets; NASDAQ OMX Nordic;

    Sammanfattning : This study has applied a geographical perspective with the ambition of evaluating the presence of the Sell in May effect, January effect and monthly anomalies in the Nordic stock markets. In extension the study examines the relationship between corporate size and the returns of calendar anomalies. LÄS MER

  5. 4. Volatility Evaluation Using Conditional Heteroscedasticity Models on Bitcoin, Ethereum and Ripple

    Master-uppsats, KTH/Matematisk statistik

    Författare :Darko Blazevic; Fredrik Marcusson; [2019]
    Nyckelord :;

    Sammanfattning : This study examines and compares the volatility in sample fit and out of sample forecast of four different heteroscedasticity models, namely ARCH, GARCH, EGARCH and GJR-GARCH applied to Bitcoin, Ethereum and Ripple. The models are fitted over the period from 2016-01-01 to 2019-01-01 and then used to obtain one day rolling forecasts during the period from 2018-01-01 to 2019-01-01. LÄS MER

  7. 5. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Arvid Nybrant; Henrik Rundberg; [2018]
    Nyckelord :VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

    Sammanfattning : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. LÄS MER