Sökning: "TGARCH"
Visar resultat 6 - 10 av 16 uppsatser innehållade ordet TGARCH.
6. Evaluating the potential profitability of alpha trading
Master-uppsats, Uppsala universitet/Nationalekonomiska institutionenSammanfattning : The purpose of this thesis is to test whether an active trading strategy using historical alpha values (a measure of risk-adjusted excess returns) for stocks can be used to achieve positive risk-adjusted profits. To do so, data on stocks in the Dow Jones Industrial Average and the Standard & Poor’s 500 Index from 1997 to 2018 are used to estimate the market model, using GARCH and TGARCH. LÄS MER
7. Type 1 error rate and significance levels when using GARCH-type models
Kandidat-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : The purpose of this thesis is to test whether the probability of falsely rejecting a true null hypothesis of a model intercept being equal to zero is consistent with the chosen significance level when modelling the variance of the error term using GARCH (1,1), TGARCH (1,1) or IGARCH (1,1) models. We test this by estimating “Jensen’s alpha” to evaluate alpha trading, using a Monte Carlo simulation based on historical data from the Standard & Poor’s 500 Index and stocks in the Dow Jones Industrial Average Index. LÄS MER
8. Predicting Stock Index Volatility Using Artificial Neural Networks: An empirical study of the OMXS30, FTSE100 & S&P/ASX200
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In this thesis I study the performances of artificial neural networks (ANNs) and three various ARCH-type models to predict weekly volatility of the Swedish (OMXS30), the British (FTSE100) and the Australian (S&P/ASX200) major stock indices. The three various ARCH-type models are the GARCH(1,1), the EGARCH(1,1) and the TGARCH(1,1). LÄS MER
9. Stock Market Anomalies: The Day-Of-The-Week-Effect : An empirical study on the Swedish Stock Market: A GARCH Model Analysis
Master-uppsats, Högskolan i Jönköping/IHH, FöretagsekonomiSammanfattning : Background: The day-of-the-week effect has been a widely studied field ever since the concept was introduced in the early 1970s. Historically, negative returns on Mondays have been the most common finding. In line with improved market efficiency, researchers have started to question the existence of this anomaly. LÄS MER
10. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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