Sökning: "arch model"

Visar resultat 1 - 5 av 70 uppsatser innehållade orden arch model.

  1. 1. 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

  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. Understanding European Natural Gas Market Dynamics : An ARCH Analysis of the Relationship Between Natural Gas Prices and Imports

    Kandidat-uppsats,

    Författare :Christoph Ellersiek; Nadia Gnerre; [2023]
    Nyckelord :Natural Gas; TTF Prices; Natural Gas Imports; ARCH Model; Edgeworth Model; Price Volatility;

    Sammanfattning : This thesis analyses the relationship between month-ahead natural gas prices and imports into Europe against the backdrop of the 2022 Russian gas curtailment and gas price spike. Employing an ARCH model, the analysis focuses on the consortium of five major European consumers of natural gas: Italy, Germany, the Netherlands, the United Kingdom, and France. LÄS MER

  5. 4. Finite Element Macro-modeling of a Historical Masonry Building : Influence of Isotropic vs Anisotropic Plastic Material Model Assumption in Static Analysis

    Master-uppsats, KTH/Bro- och stålbyggnad

    Författare :Madeleine Olsson; Maja Gustavsson; [2023]
    Nyckelord :;

    Sammanfattning : In this study, a macro-modeling strategy is implemented in a bearing wall with arch openings in an existing historical masonry building. This is to investigate what differences and similarities can be observed from the assumption of an orthotropic versus an isotropic constitutive material model. LÄS MER

  7. 5. A parametric study of the static and dynamic performance of timber arch footbridges with different hanger configurations

    Master-uppsats, KTH/Bro- och stålbyggnad

    Författare :ALEJANDRO GARCÍA GARCÍA; [2022]
    Nyckelord :Arch bridges; footbridge dynamics; critical load; bridge typology; parametric study;

    Sammanfattning : The influence of the hanger configuration in the arch and deck bending moments under asymmetric loads is widely used nowadays for improved designs of arch bridges. In this work, by means of a parametric study, those hanger configurations that most efficiently increase both the natural frequencies and buckling factors are identified, simultaneously evaluating the dynamic and static performance of timber arch footbridges. LÄS MER