Sökning: "GARCH models"
Visar resultat 1 - 5 av 192 uppsatser innehållade orden GARCH models.
1. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen
Sammanfattning : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. LÄS MER
- Magister-uppsats, Jönköping University/IHH, Företagsekonomi
Sammanfattning : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. LÄS MER
- Magister-uppsats, Södertörns högskola/Nationalekonomi
Sammanfattning : 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
- Kandidat-uppsats, Lunds universitet/Statistiska institutionen
Sammanfattning : Reliable methods for estimating financial return volatility are crucial in many areas of trading and investing. Two such frameworks, the GARCH and SV, have been of particular interest to academics and practitioners alike. The GARCH model describes the variance of the current innovation as a function of the actual sizes of the previous innovations. LÄS MER
5. Electricity Prices Under Fire: An Empirical Assessment of Intermittent Renewable Energy Sources as a Remedy to High Gas PricesD-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi
Sammanfattning : Europe has experienced a drastic increase in electricity prices since fall 2021, and it is largely acknowledged that this extreme increase is a consequence of the natural gas supply crisis in Europe. Meanwhile, intermittent renewable energy sources (IRES) are playing an ever more important role in the electricity generation of many European countries. LÄS MER