Sökning: "TGARCH"

Visar resultat 1 - 5 av 16 uppsatser innehållade ordet TGARCH.

  1. 1. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Wiklund; [2022]
    Nyckelord :GARCH; Model Confidence Set; Bitcoin; Volatility Forecasting; Business and Economics;

    Sammanfattning : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. LÄS MER

  3. 2. Comparison of impact on stock market volatility by COVID-19 and the 2008 financial crisis

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Nationalekonomi

    Författare :Anand Enkhtur; [2022]
    Nyckelord :;

    Sammanfattning : The aim of this thesis is to analyse the volatility of 11 sectorial stock return data of S&P 500 Index during the 2008 global financial crisis and the recent COVID-19 global pandemic. S&P 500 is a large stock market index that tracks the performance of 500 companies that are some of the largest in the world. LÄS MER

  4. 3. Safe Haven Assets During the COVID-19 Pandemic : a study of safe haven aspects of gold and Bitcoin in U.S. financial markets

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Erik Melin; Albert Pettersson; [2022]
    Nyckelord :TGARCH; GARCH; ARCH-LM; COVID-19; Gold; Bitcoin; Safe Haven; Hedge; Diversifier;

    Sammanfattning : This paper explores the possibility of gold and Bitcoin acting as safe haven investments during the Corona pandemic. To answer the research question the authors use OLS-, GARCH-, and TGARCH-models. The S&P 500 stock- and S&P U.S. LÄS MER

  5. 4. Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Simon Molin; [2021]
    Nyckelord :;

    Sammanfattning : Volatility is arguably one of the most important measures in financial economics since it is often used as a rough measure of the total risk of financial assets. Many volatility models have been developed to model the process, where the GARCH-family models capture several characteristics that are observed in financial data. LÄS MER

  7. 5. The Impact of Pandemic Shocks to the Stock Market

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Dominika Borkowska; Kabing Hau; [2020]
    Nyckelord :Stock Market; Volatility; COVID-19; Pandemic Shocks; GARCH; TGARCH; Business and Economics;

    Sammanfattning : The outbreak of the COVID-19 pandemic in November 2019, has made a huge impact on the stock market. Thus, this paper aims to analyze how big of an impact the pandemic shocks have compared to other known shocks on the market. LÄS MER