Sökning: "Armin Näsholm"

Hittade 2 uppsatser innehållade orden Armin Näsholm.

1. 1. Where the rainbow ends...

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Armin Näsholm; Nicklas Norling; [2011]
   Nyckelord :DCC-GARCH; CCC-GARCH; GARCH; Correlation forecasting; Rainbow option; Volatility forecasting; Management of enterprises; Företagsledning; management; Business and Economics;

   Sammanfattning : Purpose: The purpose of this thesis is to evaluate which model for forecasting the variance covariance matrix is the most accurate. This is important because the more accurate forecast the more correct pricing of derivatives with several underlying instruments. LÄS MER

3. 2. Forecasting Volatility - A Comparison Study of Model Based Forecasts and Implied Volatility

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Armin Näsholm; Bujar Bunjaku; [2010]
   Nyckelord :evaluation models ; realized volatility; implied volatility; ARMA; ARCH-family; Volatility forecast; Business and Economics;

   Sammanfattning : Purpose: The purpose is to investigate which of the selected models that forecasts the out-of-sample data most accurate and whether the model based estimators make better forecasts than the implied volatility. Methodology: Trough in-sample data from a Swedish stock index return series and a exchange rate return series, different forecasting models are evaluated to see which one that predicts the out-of-sample realized volatility most accurate. LÄS MER