Sökning: "GARCH 1"
Visar resultat 21 - 25 av 144 uppsatser innehållade orden GARCH 1.
21. Green Finance and its Relation to Asset Classes : Analyzing the dependency structure with a DCC-GARCH and a cross-quantilogram approach
Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : In this master thesis, we present the first empirical study that investigates the correlation- and dependence structure of green finance with major asset classes such as cryptocurrency, commodities, equity and currency on a global level. Over the years, green finance and sustainability questions have become more and more central in the literature. LÄS MER
22. Macroeconomic Announcements and Uncertainty Resolving : Empirical Evidence from the Eurozone
Magister-uppsats, Umeå universitet/NationalekonomiSammanfattning : Studying and identifying the impact of the macroeconomic news on the uncertainty, measured by the implied volatility index behavior in the European financial market, is the main goal of this study. The macroeconomic variables are regarded in this study are consumer price index CPI, the gross domestic product GDP, employment reports EMP, monetary policy MP, labor cost LC, and the current account for the Eurozone CA. LÄS MER
23. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan
Kandidat-uppsats, Stockholms universitet/Statistiska institutionenSammanfattning : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. LÄS MER
24. Volatility Forecasting Performance of GARCH Models : A Study on Nordic Indices During COVID-19
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility forecasting is an important tool in financial economics such as risk management, asset allocation and option pricing since an understanding of future volatility can help professional and private investors minimize their losses. The purpose of this paper is to investigate the volatility forecasting performance of symmetric and asymmetric GARCH models on Nordic indices during COVID-19. LÄS MER
25. A test of GARCH models onCoCo bonds
Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)Sammanfattning : This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. LÄS MER