Sökning: "heteroscedasticity"

Visar resultat 11 - 15 av 40 uppsatser innehållade ordet heteroscedasticity.

1. 11. Volatility Evaluation Using Conditional Heteroscedasticity Models on Bitcoin, Ethereum and Ripple

   Master-uppsats, KTH/Matematisk statistik

   Författare :Darko Blazevic; Fredrik Marcusson; [2019]
   Nyckelord :;

   Sammanfattning : This study examines and compares the volatility in sample fit and out of sample forecast of four different heteroscedasticity models, namely ARCH, GARCH, EGARCH and GJR-GARCH applied to Bitcoin, Ethereum and Ripple. The models are fitted over the period from 2016-01-01 to 2019-01-01 and then used to obtain one day rolling forecasts during the period from 2018-01-01 to 2019-01-01. LÄS MER

3. 12. Are GARCH Models Appropriate for Analysing Volatility Structures in Fundamental Valuations of the OMXS30?

   Kandidat-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Gustav Furenmo; [2019]
   Nyckelord :GARCH; OMXS30; financial time series; volatility; heteroscedasticity; stationarity; McLeod-Li test; normal distribution; student-t distribution; skewed student-t distribution; generalised error distribution; skewed generalised error distribution; Mathematics and Statistics;

   Sammanfattning : This thesis investigates the volatility structures found in forward-looking fundamental valuations of the Swedish stock index OMXS30. The evaluated data constitutes daily observations of P/E ratios based on twelve months earnings estimates during the period 2009-01-02 until 2018-10-18. LÄS MER

4. 13. The Impact of Promotions on Store Visits: A Counterfactual Approach

   Kandidat-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Joel Persson; [2018]
   Nyckelord :Promotion; potential outcomes; counterfactual analysis; treatment effects; panel data econometrics; spatio-temporal; Mathematics and Statistics; Business and Economics;

   Sammanfattning : This thesis empirically quantifies the impact of promotions on store visits in the Swedish grocery retailing sector with nationally representative panel data on household purchases of ground coffee. Using the potential outcomes framework, the impact is calculated as the difference between outcomes with promotion and their counterfactuals estimated with two regression models. LÄS MER

5. 14. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Arvid Nybrant; Henrik Rundberg; [2018]
   Nyckelord :VaR; GARCH; Volatility Forecasting; Backtesting; Conditional Heteroscedasticity;

   Sammanfattning : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. LÄS MER

7. 15. 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