Sökning: "forecast garch"
Visar resultat 1 - 5 av 54 uppsatser innehållade orden forecast garch.
1. Volatility Forecasting - A comparative study of different forecasting models.
Kandidat-uppsats,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
2. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. LÄS MER
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 fakultetenSammanfattning : 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. A time series analysis of the impact of the COVID-19 pandemic on container shipping freight rates: An application to the Asia-Europe trade route
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : The outbreak of the COVID-19 pandemic caused a sudden disruption to the shipping industry. However, for container shipping, freight rates have reached record highs during the pandemic. Shipping companies realise that understanding the impact of exogenous shocks on freight rate fluctuations to forecast freight rates is critical. LÄS MER
5. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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