Sökning: "GARCH-M"

Visar resultat 6 - 10 av 11 uppsatser innehållade ordet GARCH-M.

  1. 6. DYNAMIC PORTFOLIO STRATEGY - USING A MULTIVARIATE GARCH MODEL

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Stefan Svärd; [2014]
    Nyckelord :EGARCH; DCC; Multivariate GARCH model; GARCH-M; OMXS30; Active Portfolio Management; Business and Economics;

    Sammanfattning : This paper examines if it is possible to achieve a higher cumulative and risk adjusted return through an active portfolio strategy compared to a passive portfolio strategy. This is done through a mean-variance framework in which the variance is forecasted using two different models. LÄS MER

  3. 7. Stock Volatility In Various Financial Institutions: Case Study of Germany with GARCH Estimations

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Paul Sandström; [2011]
    Nyckelord :Stock Volatility; Financial Institutions; Germany; GARCH-M; EGARCH; Conditional Variance; Business and Economics;

    Sammanfattning : This study will try to determine the volatility of the stock returns of various financial institutions in Germany during the time period 1998-2007. The reasoning behind targeting Germany is that it is commonly known as one of the most stable and reliable economies in Europe, where Germany has been chosen as a representative case. LÄS MER

  4. 8. Risky Relations - A study of the relationship between expected stock returns and volatility on the international market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Alexandra Cabak; Sara Bergmark; [2010]
    Nyckelord :Expected stock return; volatility; GARCH-M; PARCH-M; EGARCH-M; Business and Economics;

    Sammanfattning : This econometric study examines the relationship between expected returns and volatility in ten industrialized countries. It includes three models; GARCH-M, EGARCH-M and the PARCH-M model. LÄS MER

  5. 9. Risk Management based on GARCH and Non-parametric stochastic volatility models and some cases of Generalized Hyperbolic distribution

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Askerbi Midov; Konstantin Balashov; [2008]
    Nyckelord :Risk management; Value-at-Risk;

    Sammanfattning : The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. LÄS MER

  7. 10. Kan förekomsten av en rískpremie förklara avvikelsen från öppen ränteparitet? : En empirisk studie av Sverige och USA

    Magister-uppsats, Nationalekonomiska institutionen

    Författare :Joakim Lannergård; [2006]
    Nyckelord :UIP; avvikelse; riskpremie; GARCH-M; statsskuld- och inflationsdifferens.;

    Sammanfattning : Enligt teorin om öppen ränteparitet (UIP) ska den förväntade nominella växelkursförändringen motsvara räntedifferensen mellan två länder. I själva verket visar de flesta studier att teorin inte håller och att det förekommer ett signifikant negativt samband mellan variablerna istället för det positiva sambandet som följer av teorin (Froot&Thaler 1990, McCallum 1994). LÄS MER