Sökning: "GARCH"

Visar resultat 26 - 30 av 397 uppsatser innehållade ordet GARCH.

1. 26. Investing in Bitcoin and Ethereum during stock market turmoil - a Swedish Perspective. : A study on the hedging, safe-haven, and diversification characteristics of Bitcoin, Ethereum and Gold against the OMX30 during the COVID-19 crisis and Russian invasion of Ukraine.

   Magister-uppsats, Jönköping University/IHH, Företagsekonomi

   Författare :Erik Larsson; Lukas Johansson; [2022]
   Nyckelord :DCC-GARCH; Bitcoin; Ethereum; Gold; Safe-Haven; Hedging; Diversification; COVID-19; Russia; Ukraine;

   Sammanfattning : The world has faced tumultuous times in recent years with the COVID-19 pandemic as well as the Russian invasion of Ukraine causing the stock market to be unusually volatile. During such times investors tend to flee to alternative investment opportunities that are uncorrelated or negatively correlated with the stock market, called safe-haven assets. LÄS MER

3. 27. Stock Market Volatility in the Context of Covid-19

   Magister-uppsats, Jönköping University/IHH, Företagsekonomi

   Författare :Liu Kunyu; [2022]
   Nyckelord :The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

   Sammanfattning : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. LÄS MER

4. 28. The Energy Transition: The Behavior of Renewable Energy Stock During Times of Energy Security Uncertainty : A firm-specific study of the volatility characteristics, crucial drivers & uncertainties of renewable energy stock

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

   Författare :Philip Igeland; Leon Schroeder; [2022]
   Nyckelord :Renewable energy; Energy security; Green metals; Uncertainty; MS-GARCH;

   Sammanfattning : The global energy sector is experiencing an transition towards renewable energy, a transition that is mainly driven by issues related to climate change and energy security. In this paper, we investigate the time-varying volatility and risk measures of renewable energy and traditional energy firms. LÄS MER

5. 29. Stock Price Prediction Using Machine Learning

   Magister-uppsats, Södertörns högskola/Nationalekonomi

   Författare :Yixin Guo; [2022]
   Nyckelord :Machine Learning; Stock Price; Time Series Data; Deep Learning;

   Sammanfattning : Accurate prediction of stock prices plays an increasingly prominent role in the stock market where returns and risks fluctuate wildly, and both financial institutions and regulatory authorities have paid sufficient attention to it. As a method of asset allocation, stocks have always been favored by investors because of their high returns. LÄS MER

7. 30. Explaining the dynamics of exchange rate volatility

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Jacob Tjerneld; Hampus Lööw; [2022]
   Nyckelord :Exchange Rates; Volatility; GARCH; Heteroskedasticity; Time Series Analysis.; Business and Economics;

   Sammanfattning : This research examines the volatility of the Swedish krona in regards to the Euro and US-dollar exchange rate, using both daily and monthly data ranging from the beginning of 2000 until 2022. Using this time span allows us to update previous literature on exchange rate volatility, and also incorporates recent economic events such as the great financial crisis of 2008, the 2020 covid-pandemic and the geopolitical uncertainty in Europe following Russia's invasion of Ukraine. LÄS MER