Sökning: "APARCH"

Visar resultat 6 - 10 av 10 uppsatser innehållade ordet APARCH.

  1. 6. Modeling of Market Volatility with APARCH Model

    Master-uppsats, Analys och tillämpad matematik

    Författare :Ding Ding; [2011]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  3. 7. 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

  4. 8. Leverage and Volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Knut Eric Lithman; [2010]
    Nyckelord :Leverage; volatility; asymmetric volatility; leverage effect; leverage hypothesis; volatility feedback; VAR; PVAR; risk premium; GARCH; APARCH; Conditional CAPM; volatility decomposition; Business and Economics;

    Sammanfattning : This paper attempts to contribute to existing knowledge through an explicit threefold purpose. Initially, the importance of leverage in explaining equity return volatility is determined through two fixed effects panel data estimations. LÄS MER

  5. 9. Value-at-Risk and Extreme Events

    Magister-uppsats, Matematiska institutionen

    Författare :Torben Weisner; [2010]
    Nyckelord :;

    Sammanfattning : The purpose of this thesis is to test the risk-measure Value-at-Riskand techniques for calculating it on data from the Financial Crisis of2007–2010. Different “pre-Financial Crisis” approaches to calculatingValue-at-Risk are considered, and tested on data from the period ofthe Financial Crisis. LÄS MER

  7. 10. Volatility Modelling of Asset Prices using GARCH Models

    Uppsats för yrkesexamina på grundnivå, Institutionen för systemteknik

    Författare :Jens Näsström; [2003]
    Nyckelord :Reglerteknik; GARCH models; risk prediction; system identification and econometrics; Reglerteknik;

    Sammanfattning : The objective for this master thesis is to investigate the possibility to predict the risk of stocks in financial markets. The data used for model estimation has been gathered from different branches and different European countries. LÄS MER