Sökning: "arch garch"

Visar resultat 1 - 5 av 54 uppsatser innehållade orden arch garch.

  1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

    Kandidat-uppsats, Umeå universitet/Företagsekonomi

    Författare :Anthony Baugi; Eugene Zhang; [2024]
    Nyckelord :Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

    Sammanfattning : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. LÄS MER

  3. 2. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

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

    Författare :Khaled Jrideh; [2023-05-26]
    Nyckelord :;

    Sammanfattning : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. LÄS MER

  4. 3. 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

  5. 4. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19

    Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Karl Tingstedt; [2022]
    Nyckelord :SV; ARCH; GARCH; TARCH; EGARCH; HARRV; IV; RV; Integrated Volatility; TINA;

    Sammanfattning : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. LÄS MER

  7. 5. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Wiklund; [2022]
    Nyckelord :GARCH; Model Confidence Set; Bitcoin; Volatility Forecasting; Business and Economics;

    Sammanfattning : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. LÄS MER