Sökning: "Realized GARCH"
Visar resultat 1 - 5 av 25 uppsatser innehållade orden Realized GARCH.
1. Volatility Forecasting - A comparative study of different forecasting models.
Kandidat-uppsats,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
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 SchoolSammanfattning : 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
3. 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 fakultetenSammanfattning : 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
4. Volatility forecasting of green and non-green cryptocurrencies. Is there a difference? : A quantitative study evaluating GARCH-models forecast accuracy
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/NationalekonomiSammanfattning : Cryptocurrencies are rapidly growing. The energy consumption required to be mined is huge but differs between mining processes. This thesis proposes a definition of green and non-green cryptocurrencies depending on the mining process. Green cryptocurrencies are mined through Proof of Stake and non-green are mined trough Proof of Work. LÄS MER
5. Forecasting Value-at-Risk using GARCH(1,1) and Neural Networks as Volatility Estimation Methods – A Comparative Study
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Northvolt was founded in 2015 with the goal to create the world's greenest battery. Today, Northvolt is mainly funded by investors and have suppliers all over the world, which does not come risk free. LÄS MER