Sökning: "conditional volatility"

Visar resultat 1 - 5 av 100 uppsatser innehållade orden conditional volatility.

  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. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Otto Colbin; Yugam Sharma; [2023]
    Nyckelord :Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

    Sammanfattning : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. LÄS MER

  4. 3. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

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

    Författare :Farzam Ebrahimi; Samuel Elm; [2023]
    Nyckelord :Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

    Sammanfattning : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. LÄS MER

  5. 4. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

    Kandidat-uppsats,

    Författare :Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
    Nyckelord :Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

    Sammanfattning : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. LÄS MER

  7. 5. Bitcoin - is it worth our dime? Bitcoin's effect on portfolio returns and its properties in a Swedish setting.

    Kandidat-uppsats,

    Författare :Max Bernhardtz; Joakim Eriksson; [2022-07-04]
    Nyckelord :;

    Sammanfattning : Bitcoin made its way into the consciousness of investors and the general public around 2015. Growing in popularity from there and inspiring the creation of many other crypto currencies along the way, it has been subject to several hypes and sharp declines since. LÄS MER