Sökning: "GARCH 1"
Visar resultat 1 - 5 av 107 uppsatser innehållade orden GARCH 1.
- Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. LÄS MER
- Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)
Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER
3. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset ReturnsD-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. LÄS MER
- Master-uppsats, Uppsala universitet/Statistiska institutionen
Sammanfattning : Since the introduction univariate GARCH models number of available models have grown rapidly and has been extended to the multivariate area. This paper compares three different multivariate GARCH models and they are evaluated using out of sample Value at Risk of dif- ferent portfolios. LÄS MER
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : On the basis of the recommendation of the Basel Committee on Banking Supervision to transition from Value-at-Risk (VaR) to Expected Shortfall (ES) in determining market risk capital, this paper attempts to investigate whether a Recurrent Neural Network provides more accurate VaR and ES predictions of the EUR/USD exchange rate compared to the conventional GARCH(1,1) model. A number of previous studies has confirmed the forecasting ability of a plain vanilla Feedforward Neural Network over traditional statistical models. LÄS MER