Sökning: "EGARCH"

Visar resultat 1 - 5 av 87 uppsatser innehållade ordet EGARCH.

1. 1. Volatility Forecasting - A comparative study of different forecasting models.

   Kandidat-uppsats,

   Författare :Emil Sturesson; Anton Wennström; [2023-06-29]
   Nyckelord :Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

   Sammanfattning : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. LÄS MER

3. 2. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Johannes Marmdal; Adam Törnqvist; [2023-06-29]
   Nyckelord :Forecast; Volatility; Ether; GARCH; EWMA; SMA;

   Sammanfattning : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. LÄS MER

4. 3. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Khaled Jrideh; [2023-05-26]
   Nyckelord :;

   Sammanfattning : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. LÄS MER

5. 4. PENNINGPOLITIK OCH AKTIEMARKNADEN : Hur påverkar styrräntan aktiemarknaden i Sverige?

   Kandidat-uppsats, Umeå universitet/Nationalekonomi

   Författare :Daniel Bjuhr; [2023]
   Nyckelord :;

   Sammanfattning : Den höga inflationen i Sverige och runt om i världen är idag på nivåer som inte upplevts sedan 1990 talet. Riksbanken och många andra centralbanker har som en av sina främsta uppgifter att se till så att inflationen är låg och stabil över tid. LÄS MER

7. 5. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

   Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Farzam Ebrahimi; Samuel Elm; [2023]
   Nyckelord :Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

   Sammanfattning : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. LÄS MER