Sökning: "GARCH-type models"

Visar resultat 1 - 5 av 15 uppsatser innehållade orden GARCH-type models.

  1. 1. Risk measurement of cryptocurrencies using value at risk and expected shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Van Cao Thi Hong; [2022]
    Nyckelord :cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

    Sammanfattning : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). LÄS MER

  3. 2. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christoffer Titov; [2022]
    Nyckelord :GARCH; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Exchange Rate Volatility; Business and Economics;

    Sammanfattning : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). LÄS MER

  4. 3. Volatility Forecasting of an Optimal Portfolio

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Asima Saleemi; [2022]
    Nyckelord :Optimal Portfolio; Volatility modelling and Forecasting; Minimum Variance; ARCH model; GARCH Model; GJR-GARCH Model;

    Sammanfattning : This thesis aims to construct an optimal portfolio and model as well as forecast its volatility. The performance of the optimal portfolio is then compared to two benchmarks, namely, an equally weighted portfolio and the market index SP 500. The volatility is estimated by employing two GARCH-type models known as standard GARCH, and GJR-GARCH. LÄS MER

  5. 4. Analysis of Cryptocurrency volatility and statistical distributions using ARMA and GARCH-type models

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Zhiyi You; [2019]
    Nyckelord :Cryptocurrency; Bitcoin; Litecoin; Ethereum; volatility; ARMA; GARCH-type models; eGARCH; Student s t-distribution; Laplace distribution; statistical distributions; Mathematics and Statistics;

    Sammanfattning : This study aims to investigate and model statistical properties of Bitcoin and other major cryptocurrencies. There were recent drastic changes in the level of Bitcoin prices as it moved from $740 in 2014 to $19,187 in 2017, and down to $3,830 in 2018. LÄS MER

  7. 5. Volatility of Bitcoin in a European Context

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Emilia Sjöberg; [2019]
    Nyckelord :GARCH; IGARCH; GRJ-GARCH; Jumps; Bitcoin; cryptocurrency; European market; Laplace distribution; Mathematics and Statistics;

    Sammanfattning : In 2009, Bitcoin was introduced to the world. Today, ten years later, there are still gaps in the research of how to model the cryptocurrency. In this thesis, the capacities of different volatility models to capture the high volatility of Bitcoin returns are investigated. LÄS MER