Sökning: "ARMA-GARCH"

Visar resultat 1 - 5 av 13 uppsatser innehållade ordet ARMA-GARCH.

  1. 1. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Vilhelm Samuelsson; [2023]
    Nyckelord :Exchange rates; Equity markets; Volatility; ARMA-GARCH; Copula; Exchange rate determination; Safe-haven; Portfolio rebalancing; Return chasing; Mathematics and Statistics;

    Sammanfattning : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. LÄS MER

  3. 2. Copula approach to fitting bivariate time series

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jun Wang; [2023]
    Nyckelord :VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Sammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER

  4. 3. Is the Phillips Curve Valid for ASEAN? : A Time-Varying Approach

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Simon Wilfer; Philip Wikström; [2021]
    Nyckelord :ASEAN; Phillips Curve; Inflation Dynamics; ARMA-GARCH; Time-Varying; Financial Integration; Spillover; Monetary Policy;

    Sammanfattning : The primary purpose of this thesis was to investigate if the modern Phillips Curve is valid for ASEAN five (Indonesia, Malaysia, Thailand, Singapore and Philippines) countries using a time-varying approach in the form of an ARMA-GARCH model. The method enables us to investigate how the inflation volatility reacts to economic shocks and if its history can predict the conditional variance of inflation. LÄS MER

  5. 4. Att prognosticera OMXSSC: En jämförelse mellan LSTM och ARMA-GARCH

    Kandidat-uppsats, Stockholms universitet/Statistiska institutionen

    Författare :Erik Carle; Erik Billebjer Ulrikson; [2021]
    Nyckelord :;

    Sammanfattning : I denna studie jämförs en ekonometrisk modell, ARMA-GARCH, med en djupinlärningsmodell, LSTM, på det svenska småbolagsindexet OMXSSC. Det finns en brist på studier som jämför djupinlärningsmodeller med GARCH-modeller, framförallt på svenska småbolagsindex, vilket denna studie söker att bidra med. LÄS MER

  7. 5. Forecasting Call Option prices : A Quantitative Study in Financial Economics

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Nationalekonomi

    Författare :Roger Lundmark; [2020]
    Nyckelord :;

    Sammanfattning : It is not uncommon that the theoretical price of a model is different from the market price due to various disturbances. The purpose of this study was to analyze how well the original Black-Scholes-Merton model performs accurate forecasts of the option price, where the underlying asset was the NIFTY50 stock index. LÄS MER