Sökning: "GARCH modeller"

Visar resultat 1 - 5 av 31 uppsatser innehållade orden GARCH modeller.

  1. 1. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

    Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Sebastian Mortimore; William Sturehed; [2023]
    Nyckelord :GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

    Sammanfattning : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. LÄS MER

  3. 2. On Modelling Ancillary Services Markets: A Time Series Approach

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Erik Murray; [2022]
    Nyckelord :ARIMA; SARIMA; GARCH; load balancing; ancillary services; electrical grids; FCR-D; ARIMA; SARIMA; GARCH; lastbalans; stödtjänster; kraftnät; FCR-D 2;

    Sammanfattning : So-called ancillary services (AS) have always been critically important for the functioning of an electrical grid, and are becoming even more so with the advent of renewable energy sources. Ancillary services are traded on open markets, and trading on these markets is arguably even more difficult to model than on traditional markets. LÄS MER

  4. 3. Volatility Forecasting using GARCH Processes with Exogenous Variables

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ellis Larson; [2022]
    Nyckelord :Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Sammanfattning : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. LÄS MER

  5. 4. Volatility Managing Strategy - A Strategy for Mitigating Risk and Stabilizing Risk-adjusted Return

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sara Barwary; Hanna Lind; [2021]
    Nyckelord :ARCH; EGARCH; GARCH; GJR-GARCH; Return; Risk; Volatility; Volatility Managing Strategy; ARCH; EGARCH; GARCH; GJR-GARCH; Avkastning; Risk; Volatilitet; Volatilitetshanterande strategi;

    Sammanfattning : Volatility managing strategies have gained attention over the last few years due to theiralleged ability to increase portfolio return and mitigate risk. This thesis examines the performance and risk of a portfolio using such a strategy on the Swedish equity market. The strategy is dependent on the forecasting of volatility. LÄS MER

  7. 5. DCC-GARCH Estimation

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Christofer Nordström; [2021]
    Nyckelord :Multivariate GARCH; DCC-GARCH; Conditional Correlation; Forecasting; Flerdimensionella GARCH-modeller; DCC-GARCH; Betingad Korrelation; Prognoser;

    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