Sökning: "EGARCH models"
Visar resultat 1 - 5 av 60 uppsatser innehållade orden EGARCH models.
1. Volatility Forecasting - A comparative study of different forecasting models.
Kandidat-uppsats,Sammanfattning : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. LÄS MER
2. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. LÄS MER
3. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. LÄS MER
4. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. LÄS MER
5. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19
Master-uppsats, Uppsala universitet/Nationalekonomiska institutionenSammanfattning : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. LÄS MER