Sökning: "volatility prediction model"
Visar resultat 21 - 25 av 37 uppsatser innehållade orden volatility prediction model.
21. On Stochastic Volatility Models as an Alternative to GARCH Type Models
Master-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : For the purpose of modelling and prediction of volatility, the family of Stochastic Volatility (SV) models is an alternative to the extensively used ARCH type models. SV models differ in their assumption that volatility itself follows a latent stochastic process. LÄS MER
22. Stochastic Modeling of Electricity Prices and the Impact on Balancing Power Investments
Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)Sammanfattning : Introducing more intermittent renewable energy sources in the energy system makes the role of balancing power more important. Furthermore, an increased infeed from intermittent renewable energy sources also has the effect of creating lower and more volatile electricity prices. LÄS MER
23. Volatility Forecasting In the Nordic Stock Market
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper studies volatility prediction on OMX Stockholm 30, OMX Helsinki 25 and OMX Nordic 40. The models used are a historical variance model, an exponentially weighted moving average model and three models from the GARCH family. These are GARCH(1,1), EGARCH(1,1) and GJR(1,1), with normal and t-distribution respectively. LÄS MER
24. On Modelling Extreme Foreign Exchange Volatility Using Copulas
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The price volatility is an important property to monitor in financial trading. A volatile period implies threats of large losses, but at the same time opportunities of higher gains. This makes accurate volatility prediction models an important part of an algorithmic trading system. LÄS MER
25. Price and Volatility Prediction in the EU ETS Market
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : In this thesis we examine return and volatility predictability of continuous futures contracts within the European Union Emissions Trading System (EU ETS). The market has been active for nine years and we examine whether it is more mature now compared to a few years ago when most existing research was carried out. LÄS MER