Sökning: "Volatility forecasting"

Visar resultat 1 - 5 av 87 uppsatser innehållade orden Volatility forecasting.

  1. 1. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Peter Johansson; [2019-01-22]
    Nyckelord :Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Sammanfattning : 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

  2. 2. Electrical power demand forecasting

    Kandidat-uppsats,

    Författare :David Weinberg; [2019]
    Nyckelord :;

    Sammanfattning : The electrical load, sampled every hour, at Salagatan 18 in Uppsala was used to form models and for forecasting the load. It was investigated whether Multi Seasonal ARIMA models and Support Vector Regression were suitable. The models were compared to a naive persistence benchmark in periods of high and low volatility. LÄS MER

  3. 3. Volatility of Bitcoin in a European Context

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Emilia Sjöberg; [2019]
    Nyckelord :GARCH; IGARCH; GRJ-GARCH; Jumps; Bitcoin; cryptocurrency; European market; Laplace distribution; Mathematics and Statistics;

    Sammanfattning : In 2009, Bitcoin was introduced to the world. Today, ten years later, there are still gaps in the research of how to model the cryptocurrency. In this thesis, the capacities of different volatility models to capture the high volatility of Bitcoin returns are investigated. LÄS MER

  4. 4. Comparing methods for identifying G-SIBs in Europe

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Emil Johnsson; [2018-07-04]
    Nyckelord :Risk Analysis; Basel Accords; Financial Regulation; Simulation Modeling; Volatility Forecasting; Risk Assessment; Bank Regulation;

    Sammanfattning : MSc in Finance.... LÄS MER

  5. 5. Herding Behavior in Forecasting of European Companies: Optimism and the Impact of the MiFID

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Tom Sigfridsson; Erik Lunning; [2018]
    Nyckelord :Herding; Earnings per share forecasts; Optimism; Regulation; MiFID;

    Sammanfattning : This thesis examines analysts' earnings per share forecast revisions for European companies and classifies them as either herding or bold. We further classify bold forecasts as optimistic or pessimistic. LÄS MER