Sökning: "BEKK GARCH"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden BEKK GARCH.

  1. 1. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Diego Mauricio Vargas Pico; Alina Bylkova; [2019]
    Nyckelord :Cryptocurrency; Bivariate Diagonal BEKK; Bivariate Diagonal VECH; MGARCH; Volatility; Business and Economics;

    Sammanfattning : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. LÄS MER

  2. 2. Volatility Forecasting An Empirical Study on Bitcoin Using Garch and Stochastic Volatility models

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hugo Hultman; [2018]
    Nyckelord :Volatility forecasting; Stochastic volatility; GARCH; Bitcoin; Business and Economics;

    Sammanfattning : Cryptocurrencies are on the rise, with new financial assets, new frameworks need to be developed. This thesis sets out to the examine the GARCH(1,1), the bivariate-BEKK(1,1), and the Standard stochastic volatility model’s volatility forecasting performance on BTC/USD, where the bivariate model is estimated on both BTC/USD and ETH/USD closing price data. LÄS MER

  3. 3. Risk Management for Swedish Farmers - An empirical study on hedge ratios for Swedish wheat

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Pierre Andersson; [2016]
    Nyckelord :Dynamic hedge ratio; Wheat futures; GARCH; BEKK; VECH; Business and Economics;

    Sammanfattning : The paper investigates data on purchasing price of wheat from Swedish grain buyer Lantmännen and MATIF future contracts on milling wheat in an attempt to replicate the conditions for a Swedish farmer trying to manage his risk on wheat by trading future contracts on the MATIF exchange. Two static linear regressions and four dynamic GARCH models are employed on a sample of 1679 daily returns and 339 weekly returns ranging from 2009-07-01 to 2016-01-11. LÄS MER

  4. 4. The volatility spillovers between stock markets and exchange rates - Evidence from North- and South America

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Daníel Kristinsson; [2014]
    Nyckelord :GARCH-BEKK model; Volatility spillovers; Stock returns; Exchange rates; North American countries; Business and Economics;

    Sammanfattning : The aim of this thesis is to look at volatility spillovers between the exchange rate changes and the stock market returns. The theoretical relationship between the exchange rate and stock market is covered with focus on two basic models, the stock oriented model and the flow oriented model. LÄS MER

  5. 5. Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades.

    Master-uppsats, Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Författare :Johannes Hornbrinck; Jonas Olausson; [2014]
    Nyckelord :Gold; Currency Carry Trades; Carry Trades; Portfolio choice; Sweden; Gold Hege; Gold diversifier; Gold safe-haven; UIP; Relationship;

    Sammanfattning : Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. LÄS MER