Sökning: "GARCH MIDAS"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden GARCH MIDAS.

  1. 1. Neighbours, but yet different? Scandinavian stock market volatility and its drivers under different regimes. A GARCH-MIDAS approach

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Buelent Uendes; [2019]
    Nyckelord :Scandinavia; Stock market; Volatility; GARCH-MIDAS; Business and Economics;

    Sammanfattning : This study is an initial attempt to investigate the differences and similarities of the stock market volatilities in Scandinavia with respect to their drivers. Using the GARCH-MIDAS (Mixed Data Sampling) framework, this paper evaluates the explanatory value of various variables originating from different areas, covering the period from February 1998 to December 2018. LÄS MER

  3. 2. The Effects of Economic Variables on Swedish Stock Market Volatility A GARCH-MIDAS Approach

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sebastian Kejlberg; [2018]
    Nyckelord :GARCH; MIDAS; stock market; volatility; macroeconomic; OMXSB; Sweden; Business and Economics;

    Sammanfattning : This thesis applies the GARCH-MIDAS model to investigate the effects of macroeconomic variables, sentimental indicators, and financial variables on Swedish stock market volatility for the period January 2002 to December 2016. The GARCH-MIDAS framework allows the incorporation of data at different frequencies into the same model and decomposes volatility into two components. LÄS MER

  4. 3. MIDAS and GARCH; A comparison of predictive ability using real world data

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Robin Särnå; [2017-06-26]
    Nyckelord :MIDAS; GARCH; high frequency data;

    Sammanfattning : I compare GARCH and MIDAS one-day-ahead forecasts of volatility using high frequency data from the CRSP U.S. Mega Cap Index. The MIDAS models are estimated using high frequency data sampled at 5, 15 and 30 minute intervals and estimated using both exponential Almon and beta lag distributions with two shape parameters. LÄS MER

  5. 4. Rising household consumer debt: Good or bad? Empirical research on U.S. stock market volatility using normal mixture GARCH-MIDAS model

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Hang Le; [2015]
    Nyckelord :Household debt; Income Inequality; Stock market volatility; Mixed Data Sampling; Normal Mixture Distribution;

    Sammanfattning : Household debt has been on the continuous rise to raise concern for its sustainability and its consequences to the financial system and the macro-economy as a whole. In this paper, I review empirical work on the growth of total household consumer debt ratio on long-term component of stock market volatility. LÄS MER

  7. 5. The effects of macroeconomic variables on Asian stock market volatility: A GARCH MIDAS approach

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Duc Hong Hoang; [2015]
    Nyckelord :China; South Korea; Japan; volatility; GARCH MIDAS; inflation; industrial production; oil price shocks; Business and Economics;

    Sammanfattning : This paper aims to investigate the effects of macroeconomic variables on stock market volatility in three Asian countries by applying GARCH MIDAS model. The study covers the period from 01/2003 to 06/2014. The GARCH MIDAS framework allows to incorporate macro variables directly in the model and obtain long-term and short-term volatility separately. LÄS MER