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6. Comparison of impact on stock market volatility by COVID-19 and the 2008 financial crisis
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/NationalekonomiSammanfattning : The aim of this thesis is to analyse the volatility of 11 sectorial stock return data of S&P 500 Index during the 2008 global financial crisis and the recent COVID-19 global pandemic. S&P 500 is a large stock market index that tracks the performance of 500 companies that are some of the largest in the world. LÄS MER
7. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. LÄS MER
8. Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility is arguably one of the most important measures in financial economics since it is often used as a rough measure of the total risk of financial assets. Many volatility models have been developed to model the process, where the GARCH-family models capture several characteristics that are observed in financial data. LÄS MER
9. Volatility Forecasting Performance of GARCH Models : A Study on Nordic Indices During COVID-19
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility forecasting is an important tool in financial economics such as risk management, asset allocation and option pricing since an understanding of future volatility can help professional and private investors minimize their losses. The purpose of this paper is to investigate the volatility forecasting performance of symmetric and asymmetric GARCH models on Nordic indices during COVID-19. LÄS MER
10. Volatility Forecasting Performance : An evaluation of GARCH-class models
Master-uppsats, Umeå universitet/NationalekonomiSammanfattning : Volatility is considered among the most vital concepts of the financial market and is frequently used as a rough measure of the total risk of financial assets. Volatility is however not directly observable in practice; it must be estimated. The procedure in estimating and modeling volatility can be performed in numerous ways. LÄS MER
