Sökning: "Out-Of-Sample"

Visar resultat 1 - 5 av 182 uppsatser innehållade ordet Out-Of-Sample.

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. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Johannes Marmdal; Adam Törnqvist; [2023-06-29]
   Nyckelord :Forecast; Volatility; Ether; GARCH; EWMA; SMA;

   Sammanfattning : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. LÄS MER

4. 3. CAViaR and Cross-sectional quantile regression models to assess risk in S&P500 sectors

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Vladyslava Bab’yak; [2023-06-29]
   Nyckelord :Value-at-Risk; CAViaR; cross-sectional quantile regression; ; risk;

   Sammanfattning : The aim of this thesis is to investigate the performance of different models used in risk management to identify and control risks that may negatively impact company operations due to unpredictable events. More specifically, the object of this paper is the discussion of a cross-sectional quantile regression model (CSQR) and the CAViaR model, which is a time series quantile regression model. LÄS MER

5. 4. Does the Level of Swedish Economic Policy Uncertainty Help Forecast Excess Returns on the Swedish Stock Market?

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Gustav Jacobsson; Oscar Klersell; [2023]
   Nyckelord :Economic Policy Uncertainty EPU ; Excess stock returns; Out-of-sample forecasting; Random walk; Sweden;

   Sammanfattning : This thesis examines whether the level of Swedish economic policy uncertainty (EPU) can predict excess returns on the Swedish stock market. We run out-of-sample forecasting using an EPU-based predictive model constructed with the official Swedish EPU index developed by Armelius et al. (2017). LÄS MER

7. 5. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

   Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Sebastian Mortimore; William Sturehed; [2023]
   Nyckelord :GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

   Sammanfattning : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. LÄS MER