Sökning: "GARCH 1"
Visar resultat 1 - 5 av 144 uppsatser innehållade orden GARCH 1.
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. 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
3. Copula approach to fitting bivariate time series
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER
4. A time series analysis of the impact of the COVID-19 pandemic on container shipping freight rates: An application to the Asia-Europe trade route
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : The outbreak of the COVID-19 pandemic caused a sudden disruption to the shipping industry. However, for container shipping, freight rates have reached record highs during the pandemic. Shipping companies realise that understanding the impact of exogenous shocks on freight rate fluctuations to forecast freight rates is critical. LÄS MER
5. Covid-19 och börsvärdets påverkan av volatiliteten
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : Covid-19 has contributed to a major impact on the world economy. Stock markets have tumble and show to be more volatile than usual. In this study, we investigate if the size of a company matter in how volatile they are under and before covid-19. LÄS MER