Sökning: "Amadeus Wennström"
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1. Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices
Master-uppsats, KTH/Matematisk statistikSammanfattning : This thesis examines the volatility forecasting performance of six commonly used forecasting models; the simple moving average, the exponentially weighted moving average, the ARCH model, the GARCH model, the EGARCH model and the GJR-GARCH model. The dataset used in this report are three different Nordic equity indices, OMXS30, OMXC20 and OMXH25. LÄS MER
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