Sökning: "GARCH models"

Visar resultat 11 - 15 av 217 uppsatser innehållade orden GARCH models.

  1. 11. Wind Power and Electricity Price Dynamics : An Empirical Analysis on the Swedish Day-Ahead Market

    Kandidat-uppsats, Umeå universitet/Nationalekonomi

    Författare :Maurus Grond; [2023]
    Nyckelord :;

    Sammanfattning : Facing large-scale electrification, Swedish electricity markets are projected to undergo fundamental changes over the next decades. With climate protection goals in mind, wind-powered electricity will play a crucial role in supplying tomorrow’s electricity to Swedish households and industry. LÄS MER

  3. 12. Copula approach to fitting bivariate time series

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jun Wang; [2023]
    Nyckelord :VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Sammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER

  4. 13. The Impact of Financial Crises and Natural Disasters on the US Catastrophe Bond Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Martina Scaroni; Felicitas Gesa Lore Elisabeth Schulze-Steinen; [2022]
    Nyckelord :Catastrophe Bond; Atlantic Hurricanes; Natural Disasters; Financial Crisis; Business and Economics;

    Sammanfattning : Catastrophe (CAT) bonds bring the needs of (re)insurance companies and investors together: They insure against natural disasters by transferring risk to the capital market while at the same time promising high returns and a certain detachment from financial markets. Being an alternative investment class that has been on the rise only in recent years, academic research on CAT bonds is comparatively limited. LÄS MER

  5. 14. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19

    Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Karl Tingstedt; [2022]
    Nyckelord :SV; ARCH; GARCH; TARCH; EGARCH; HARRV; IV; RV; Integrated Volatility; TINA;

    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

  7. 15. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Wiklund; [2022]
    Nyckelord :GARCH; Model Confidence Set; Bitcoin; Volatility Forecasting; Business and Economics;

    Sammanfattning : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. LÄS MER