Sökning: "GARCH modeling"

Visar resultat 1 - 5 av 23 uppsatser innehållade orden GARCH modeling.

  1. 1. Statistisk tidsserieanalys av skillnader i partikelhalter mellan en korsning och en väglänk i Stockholm : En modellering av felterm med GARCH och Cochrane-Orcutt

    Kandidat-uppsats, Linköpings universitet/Institutionen för datavetenskap; Linköpings universitet/Institutionen för datavetenskap

    Författare :Eric Herwin; Albin Västerlund; [2017]
    Nyckelord :;

    Sammanfattning : In Sweden, the assumption is that there is no difference in particle halt between an intersection and a road link and this assumption is mentioned among government institutions. The intrest to investigate if statistical differences in particle halt between an intersection and a road link arises when enviromental questions concerning intersections has become more interesting. LÄS MER

  2. 2. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    Master-uppsats, KTH/Matematisk statistik

    Författare :Katja Dalne; [2017]
    Nyckelord :Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER

  3. 3. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Alexander Noshkov; Zafer Demirtas; [2017]
    Nyckelord :Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

    Sammanfattning : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. LÄS MER

  4. 4. Hierarchical clustering of market risk models

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Ludvig Pusek; Viktor Sonebäck; [2017]
    Nyckelord :;

    Sammanfattning : This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. LÄS MER

  5. 5. Modeling volatility for the Swedish stock market

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Emilio Vega Ezpeleta; [2016]
    Nyckelord :GARCH; Conditional variance; Realized variance; Implied volatility; Forecasting volatility; Heteroskedasticity; Time series;

    Sammanfattning : This thesis will investigate if adding an exogenous variable (implied volatility) to the variance equation will increase the performance for the GARCH(1,1) and EGARCH(1,1) models based on the OMXS30 index. These models are also compared with the implied volatility itself as a forecasting/modeling method. LÄS MER

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