Sökning: "GARCH"

Visar resultat 31 - 35 av 397 uppsatser innehållade ordet GARCH.

  1. 31. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Villwock; Clara Rydholm; [2022]
    Nyckelord :Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Sammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER

  3. 32. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?

    Kandidat-uppsats, Stockholms universitet/Statistiska institutionen

    Författare :Mathilda Schönbeck; Fatima Salman; [2022]
    Nyckelord :Bitcoin; forecasting; volatility; logarithmic return; ARCH; GARCH; ARIMA model; dynamic regression;

    Sammanfattning : This thesis aims to fit and compare different time series models namely the ARIMA-model, conditional heteroscedastic models and lastly a dynamic regression model with ARIMA error to Bitcoin closing price data that spans over 5 consecutive years. The purpose is to evaluate if the sanction on Russia had any effect on the cryptocurrency Bitcoin. LÄS MER

  4. 33. Hur påverkas börsen av Makroekonomiska nyheter? : En kvantitativ studie på den europeiska börsmarknaden

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Nationalekonomi

    Författare :Evelina Norin; [2022]
    Nyckelord :;

    Sammanfattning : Syftet med hela arbetet är att undersöka om makroekonomiska annonseringar i både Europa och USA påverkar osäkerheten på den europeiska börsmarknaden. Närmare bestämt om dessa annonseringar har någon påverkan på det europeiska volatilitetsindexet VSTOXX. LÄS MER

  5. 34. Performance of Stochastic Volatility and GARCH Models in Different Market Regimes

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Felix Viitanen; Erik Lundgren; [2022]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Reliable methods for estimating financial return volatility are crucial in many areas of trading and investing. Two such frameworks, the GARCH and SV, have been of particular interest to academics and practitioners alike. The GARCH model describes the variance of the current innovation as a function of the actual sizes of the previous innovations. LÄS MER

  7. 35. Forecasting Efficiency in Cryptocurrency Markets : A machine learning case study

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Erik Persson; [2022]
    Nyckelord :Cryptocurrencies; Financial time-series; Multi step-ahead forecasting; Machine Learning; Feature selection; Kryptovalutor; Finansiella tidsserier; Flerstegsprognoser; Maskininlärning; variabelselektion;

    Sammanfattning : Financial time-series are not uncommon to research in an academic context. This is possibly not only due to its challenging nature with high levels of noise and non-stationary data, but because of the endless possibilities of features and problem formulations it creates. LÄS MER