Sökning: "Mincer-Zarnowitz regression"

Hittade 2 uppsatser innehållade orden Mincer-Zarnowitz regression.

  1. 1. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Mohammad Aljaid; Mohammed Diaa Zakaria; [2020]
    Nyckelord :Implied Volatilty; Mincer–Zarnowitz regression; GARCHModel; Realized Volatility; Predictive Power.;

    Sammanfattning : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. LÄS MER

  3. 2. Evaluating forecasts from the GARCH(1,1)-model for Swedish Equities

    Kandidat-uppsats, Statistiska institutionen

    Författare :Joel Hartman; Osvald Wiklander; [2012]
    Nyckelord :Volatility forecasts; GARCH 1; 1 ; Realized Variance; Mincer-Zarnowitz regression;

    Sammanfattning : .... LÄS MER