Sökning: "APARCH"

Visar resultat 1 - 5 av 8 uppsatser innehållade ordet APARCH.

  1. 1. Modeling asymmetry in volatility response - non-Gaussian innovations approach

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Ludvig Göransson; [2020]
    Nyckelord :ARCH; GARCH; APARCH; Asymmetric GARCH; non-Gaussian innovations; Laplace distribution; Leverage effect; Stylized facts; Volatility process.; Mathematics and Statistics;

    Sammanfattning : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. LÄS MER

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

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen; 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

  3. 3. Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Carl Nilsson; [2017]
    Nyckelord :volatility forecasting; VaR; GARCH; model confidence set; Business and Economics;

    Sammanfattning : In this study we compare different volatility models on their ability to forecast one day ahead volatility and value-at-risk (VaR). We compare five different GARCH specifications: GARCH, IGARCH, GJR-GARCH, EGARCH and APARCH, as well as EWMA, each paired with six different conditional distributions. LÄS MER

  4. 4. Modeling of Market Volatility with APARCH Model

    Master-uppsats, Uppsala universitet/Analys och tillämpad matematik

    Författare :Ding Ding; [2011]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  5. 5. The day-of-the-week effect on stock returns and volatility: The case of Latin America

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Irais Perez Duran; [2010]
    Nyckelord :Day-of-the-week effect; Emerging markets; GARCH; EGARCH; APARCH; Business and Economics;

    Sammanfattning : It has been found that the behavior of stock markets follow patterns that are not necessarily consistent with the Efficient Market Hypothesis. Anomalies have been classified into different groups of which calendar anomalies such as the day-of-the-week effect has been under study for many years. LÄS MER