Sökning: "Dennis Artur Huber"

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  1. 1. Forecasting Volatility: Evidence From The Swiss Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Dennis Artur Huber; Jacob Persson; [2010]
    Nyckelord :volatility; implied volatility; SMI; VSMI; model based forecasts; Business and Economics;

    Sammanfattning : This thesis focuses on the question whether the volatility index of the Swiss Market Index (VSMI) is an adequate predictor of the future realized volatility. Furthermore, the thesis searches for evidence of incremental information within the VSMI in relation to a set of model based forecasts (MBFs) which could describe future realized volatility. LÄS MER