Sökning: "GARCH t"

Visar resultat 1 - 5 av 79 uppsatser innehållade orden GARCH t.

  1. 1. Volatility Forecasting - A comparative study of different forecasting models.

    Kandidat-uppsats,

    Författare :Emil Sturesson; Anton Wennström; [2023-06-29]
    Nyckelord :Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

    Sammanfattning : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. LÄS MER

  3. 2. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

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

    Författare :Khaled Jrideh; [2023-05-26]
    Nyckelord :;

    Sammanfattning : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. LÄS MER

  4. 3. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach

    Magister-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Författare :Joakim Mårs; Tobias Stark; [2023]
    Nyckelord :;

    Sammanfattning : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. LÄS MER

  5. 4. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Viktor Ågren; [2023]
    Nyckelord :risk metric; expected shortfall; backtest; value at risk; empirical analysis;

    Sammanfattning : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. LÄS MER

  7. 5. 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