Sökning: "GARCH"

Visar resultat 1 - 5 av 312 uppsatser innehållade ordet GARCH.

  1. 1. Investigating some GARCH(1,1)-type value-at-risk models pre-Covid-19 and intra-Covid-19

    Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :Benjamin Ringdahl; [2021]
    Nyckelord :;

    Sammanfattning : Value-at-risk quantifies the amount of capital needed to handle future losses on investments at a given confidence level. The Covid-19 pandemic greatly increased market volatility, which motivates us to investigate value-at-risk models during this time period. LÄS MER

  2. 2. ESG Investing through ETFs - An effective way to circumvent volatility?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Agnes Strignert; Ellen Malm; [2021]
    Nyckelord :ETFs; ESG; sustainability; volatility; GARCH.; Business and Economics;

    Sammanfattning : This study highlights relatively new investment phenomena such as ETF investing and forthcoming trends in placement strategies to incorporate long-term visions and sustainable holdings. ETFs are popular for several reasons, but the investment vehicle also has some embodied volatility, in contrast to more traditional securities, making them less desirable for the risk-averse investor. LÄS MER

  3. 3. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange

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

    Författare :Evelyn Dela Gbadago; [2021]
    Nyckelord :Continetal investment; New York Stock Exchange; Value-at-Risk; Special Metal Industry and Africa.;

    Sammanfattning : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. LÄS MER

  4. 4. GARCH and GAS: Comparison of volatility models for Bitcoin in different exchanges

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Mohammad Rashidi Ranjbar; [2020-07-08]
    Nyckelord :Bitcoin; Volatility Modelling; GAS; GARCH; Realized GARCH; Coinbase; Bitfinex; Bitstamp;

    Sammanfattning : MSc in Finance.... LÄS MER

  5. 5. En analys av volatiliteten på Stockholmbörsen 2007-2009.

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

    Författare :Matilda Sampson; Gabriella Severeus; [2020-07-02]
    Nyckelord :;

    Sammanfattning : This thesis examines the volatility on the Stockholm Stock Exchange during the Great Recession in 2007-2009. In order to examine whether the financial crisis had a larger impact on any sector the report investigate the differences in volatility of returns between three sectors; consumer goods, property and medical firms. LÄS MER