Sökning: "Volatility forecasting"

Visar resultat 21 - 25 av 153 uppsatser innehållade orden Volatility forecasting.

  1. 21. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Simon Wahlberg; [2022]
    Nyckelord :RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Sammanfattning : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. LÄS MER

  3. 22. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?

    Kandidat-uppsats, Stockholms universitet/Statistiska institutionen

    Författare :Mathilda Schönbeck; Fatima Salman; [2022]
    Nyckelord :Bitcoin; forecasting; volatility; logarithmic return; ARCH; GARCH; ARIMA model; dynamic regression;

    Sammanfattning : This thesis aims to fit and compare different time series models namely the ARIMA-model, conditional heteroscedastic models and lastly a dynamic regression model with ARIMA error to Bitcoin closing price data that spans over 5 consecutive years. The purpose is to evaluate if the sanction on Russia had any effect on the cryptocurrency Bitcoin. LÄS MER

  4. 23. Forecasting Efficiency in Cryptocurrency Markets : A machine learning case study

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Erik Persson; [2022]
    Nyckelord :Cryptocurrencies; Financial time-series; Multi step-ahead forecasting; Machine Learning; Feature selection; Kryptovalutor; Finansiella tidsserier; Flerstegsprognoser; Maskininlärning; variabelselektion;

    Sammanfattning : Financial time-series are not uncommon to research in an academic context. This is possibly not only due to its challenging nature with high levels of noise and non-stationary data, but because of the endless possibilities of features and problem formulations it creates. LÄS MER

  5. 24. Predicting the Future with Stock Market Liquidity: A Study of the Swedish Stock Market Liquidity as a Leading Indicator of the Future Business Cycle

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

    Författare :Sofia Derninger; Anna Hagman; [2022]
    Nyckelord :Stock Market Liquidity; Business Cycle; Forecasting; Recession; Sweden;

    Sammanfattning : Using daily stock data from the Stockholm Stock Exchange, this paper investigates the relationship between stock market liquidity and the real economy. We find restricted support for stock market liquidity containing leading information about real economic growth. LÄS MER

  7. 25. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Axel Eurenius Larsson; [2022]
    Nyckelord :Dynamic factor model; Value at Risk; Forecasting; Conditional Correlation GARCH.;

    Sammanfattning : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. LÄS MER