Sökning: "GARCH modeling"
Visar resultat 1 - 5 av 32 uppsatser innehållade orden GARCH modeling.
1. Stock Price Prediction Using Machine Learning
Magister-uppsats, Södertörns högskola/NationalekonomiSammanfattning : Accurate prediction of stock prices plays an increasingly prominent role in the stock market where returns and risks fluctuate wildly, and both financial institutions and regulatory authorities have paid sufficient attention to it. As a method of asset allocation, stocks have always been favored by investors because of their high returns. LÄS MER
2. Improving term structure measurements by incorporating steps in a multiple yield curve framework
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER
3. DCC-GARCH Estimation
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. LÄS MER
4. Green Bond’s co-movement with the treasury bond, corporate bond, stock, and carbon markets during an economic recession
Magister-uppsats, Jönköping University/IHH, FöretagsekonomiSammanfattning : Background: With the tremendous growth of the Green Bond (GB) market, understanding the relationship of the GB market with other financial markets gains importance. The Covid19 pandemic causing a recession in most major economies creates an opportunity to see the co-movements of the GB market with other financial markets under a period of economic crisis. LÄS MER
5. Volatility Forecasting Performance : An evaluation of GARCH-class models
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility is considered among the most vital concepts of the financial market and is frequently used as a rough measure of the total risk of financial assets. Volatility is however not directly observable in practice; it must be estimated. The procedure in estimating and modeling volatility can be performed in numerous ways. LÄS MER