Sökning: "GJRGARCH"

Hittade 3 uppsatser innehållade ordet GJRGARCH.

  1. 1. Risk measurement of cryptocurrencies using value at risk and expected shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Van Cao Thi Hong; [2022]
    Nyckelord :cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

    Sammanfattning : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). LÄS MER

  3. 2. Univariate GARCH models with realized variance

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Carl Börjesson; Ossian Löhnn; [2019]
    Nyckelord :GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

    Sammanfattning : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. LÄS MER

  4. 3. On stock return prediction with LSTM networks

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Magnus Hansson; [2017]
    Nyckelord :artificial neural networks; recurrent networks; LSTM; EMH; Business and Economics;

    Sammanfattning : Artificial neural networks are, again, on the rise. The decreasing costs of computing power and the availability of big data together with advancements of neural network theory have made this possible. LÄS MER