Sökning: "E-GARCH"

Visar resultat 1 - 5 av 9 uppsatser innehållade ordet E-GARCH.

  1. 1. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Anton Ahlqvist; Walter Uong; [2023-06-29]
    Nyckelord :;

    Sammanfattning : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. LÄS MER

  3. 2. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

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

    Författare :Sebastian Mortimore; William Sturehed; [2023]
    Nyckelord :GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

    Sammanfattning : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. LÄS MER

  4. 3. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach

    Magister-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Författare :Joakim Mårs; Tobias Stark; [2023]
    Nyckelord :;

    Sammanfattning : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. LÄS MER

  5. 4. Explaining the dynamics of exchange rate volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jacob Tjerneld; Hampus Lööw; [2022]
    Nyckelord :Exchange Rates; Volatility; GARCH; Heteroskedasticity; Time Series Analysis.; Business and Economics;

    Sammanfattning : This research examines the volatility of the Swedish krona in regards to the Euro and US-dollar exchange rate, using both daily and monthly data ranging from the beginning of 2000 until 2022. Using this time span allows us to update previous literature on exchange rate volatility, and also incorporates recent economic events such as the great financial crisis of 2008, the 2020 covid-pandemic and the geopolitical uncertainty in Europe following Russia's invasion of Ukraine. LÄS MER

  7. 5. Asymmetrisk volatilitet - hur påvisas det i aktiemarknadens olika sektorer? : En sektorjämförelse mellan åren 2012–2022

    Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Författare :Linus Alentun; Patrik Egléus; [2022]
    Nyckelord :volatilitet; marknad; aktier;

    Sammanfattning : Abstract Title: Asymmetric volatility – how is it demonstrated in the various sectors of the stock market? Authors: Linus Alentun and Patrik Egléus Supervisor: Katarina Eriksson Background: Asymmetric volatility is a phenomenon that can occur in various financial assets. This can be defined by the fact that volatility and lagged return have a negative correlation in the stock market. LÄS MER