Sökning: "GARCH modeling"

Visar resultat 6 - 10 av 32 uppsatser innehållade orden GARCH modeling.

  1. 6. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Ludvig Göransson; [2020]
    Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER

  3. 7. Risk Modeling of Sustainable Mutual Funds Using GARCH Time Series

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erik Malmgren; Annie Zhang; [2020]
    Nyckelord :GARCH; ARMA-GARCH; Risk Modeling; Time Series; Volatility; Value at Risk; Sustainable Investments; SRI; ESG; Mutual Funds; Morningstar; GARCH; ARMA-GARCH; Riskmodellering; Tidsserie; Volatilitet; Value at risk; Hållbara investeringar; SRI; ESG; Fonder; Morningstar;

    Sammanfattning : The demand for sustainable investments has seen an increase in recent years. There is considerable literature covering backtesting of the performance and risk of socially responsible investments (SRI) compared to conventional investments. LÄS MER

  4. 8. Emission Allowances in the European Union Emissions Trading System

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Franziska Manke; [2020]
    Nyckelord :Emission Allowances; EU ETS; Volatility; GARCH; Cointegration;

    Sammanfattning : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. LÄS MER

  5. 9. 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

    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

  7. 10. 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