Sökning: "Volatility modelling and Forecasting"

Visar resultat 1 - 5 av 13 uppsatser innehållade orden Volatility modelling and Forecasting.

1. 1. Volatility Forecasting - A comparative study of different forecasting models.

   Kandidat-uppsats,

   Författare :Emil Sturesson; Anton Wennström; [2023-06-29]
   Nyckelord :Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

   Sammanfattning : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. LÄS MER

3. 2. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

   Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Sebastian Mortimore; William Sturehed; [2023]
   Nyckelord :GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

   Sammanfattning : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. LÄS MER

4. 3. Development of an investment model for pumped storage hydropower

   Magister-uppsats, Uppsala universitet/Elektricitetslära

   Författare :Pontus Gustavsson; Eric Swanmark; [2023]
   Nyckelord :pumped storage hydropower; investment models; energy storage; grid balancing;

   Sammanfattning : The energy market is evolving, with a prediction of heavily increased consumption and, consequently, increased production. In parallel, EU directives with targets prioritising fossil-free electricity production, reduction of greenhouse gas emissions and becoming climate neutral by 2050, poses a challenge for the current state of electricity production in the Nordics. LÄS MER

5. 4. 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

7. 5. Volatility Forecasting of an Optimal Portfolio

   Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Asima Saleemi; [2022]
   Nyckelord :Optimal Portfolio; Volatility modelling and Forecasting; Minimum Variance; ARCH model; GARCH Model; GJR-GARCH Model;

   Sammanfattning : This thesis aims to construct an optimal portfolio and model as well as forecast its volatility. The performance of the optimal portfolio is then compared to two benchmarks, namely, an equally weighted portfolio and the market index SP 500. The volatility is estimated by employing two GARCH-type models known as standard GARCH, and GJR-GARCH. LÄS MER