Sökning: "Volatility forecasting"
Visar resultat 1 - 5 av 87 uppsatser innehållade orden Volatility forecasting.
- Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
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
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
- Magister-uppsats, Lunds universitet/Statistiska institutionen
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
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
- C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
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