Sökning: "RANDOM WALK GARCH"
Visar resultat 1 - 5 av 10 uppsatser innehållade orden RANDOM WALK GARCH.
1. A test of GARCH models onCoCo bonds
Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)Sammanfattning : This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. LÄS MER
2. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average? The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. LÄS MER
3. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. LÄS MER
4. Statistisk undersökning av valutakurser : En jämförelse mellan olika prognosmodeller
Kandidat-uppsats, Stockholms universitet/Statistiska institutionenSammanfattning : Valutamarknaden är världens största marknad och en nödvändig del av dagens globala samhälle, som gör det möjligt för företag att göra affärer i olika valutor och mellan olika gränser. Marknaden utgör en stor handelsplattform för både små och stora aktörer, för vilka det är viktigt att prognostisera valutakurser med gott resultat. LÄS MER
5. The Predictive Power of Candlestick Patterns - An Empirical Test of Technical Indicators on the Swedish Stock Market Using GARCH-M and Bootstrapping
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Using statistical tests, the profitability and predictive power of a technical analysis strategy based on candlestick patterns is tested. Candlestick technical analysis is a short term strategy based on the open, high, low and closing prices of a financial asset. LÄS MER