Sökning: "forecasting variance"

Visar resultat 1 - 5 av 40 uppsatser innehållade orden forecasting variance.

  1. 1. Implied Volatility and Historical Volatility : An Empirical Evidence About The Content of Information And Forecasting Power

    Master-uppsats, Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Författare :Mohammad Aljaid; Mohammed Diaa Zakaria; [2020]
    Nyckelord :Implied Volatilty; Mincer–Zarnowitz regression; GARCHModel; Realized Volatility; Predictive Power.;

    Sammanfattning : This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. LÄS MER

  2. 2. Emission Allowances in the European Union Emissions Trading System

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Franziska Manke; [2020]
    Nyckelord :Emission Allowances; EU ETS; Volatility; GARCH; Cointegration;

    Sammanfattning : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. LÄS MER

  3. 3. Election Forecasting in a Multiparty System

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

    Författare :Stefan Lindborg; [2019-01-31]
    Nyckelord :Election forecasting; Polling; Multiparty systems; Dynamic Linear Models; DLM; Kalman filtering; Swedish elections;

    Sammanfattning : This bachelor thesis in statistics covers the subject of election forecasting in a multipartysystem, using polling data, that is data collected to measure party support, and dynamiclinear models (DLMs) with Kalman filtering. In terms of decision-making the outcomeof an election can be thought of as an uncertainty. LÄS MER

  4. 4. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Sam Bigdeli; Filip Bengtsson; [2019]
    Nyckelord :DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Sammanfattning : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. LÄS MER

  5. 5. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen; Uppsala universitet/Statistiska institutionen

    Författare :Tim Andersson-Säll; Johan Lindskog; [2019]
    Nyckelord :Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix;

    Sammanfattning : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. LÄS MER