Sökning: "t-GAS"
Hittade 2 uppsatser innehållade ordet t-GAS.
1. Volatility Forecasting - A comparative study of different forecasting models.
Kandidat-uppsats,Sammanfattning : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. LÄS MER
2. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : Different characteristics of cryptocurrencies have been investigated by a number of studies. In this study, I focus on conditional volatility of Bitcoin in three exchanges which are Coinbase, Bitfinex and Bitstamp. LÄS MER
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