Sökning: "Timothy Chapman"

Hittade 1 uppsats innehållade orden Timothy Chapman.

  1. 1. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan

    Kandidat-uppsats, Stockholms universitet/Statistiska institutionen

    Författare :Edvin Wallin; Timothy Chapman; [2021]
    Nyckelord :Heteroscedasticity; GARCH 1; 1 ; ARMA p; q ; Skewed student s t-distribution; Regression; Fama and French Five-factor model;

    Sammanfattning : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. LÄS MER