Sökning: "forecasting variance"

Visar resultat 16 - 20 av 49 uppsatser innehållade orden forecasting variance.

  1. 16. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Diego Mauricio Vargas Pico; Alina Bylkova; [2019]
    Nyckelord :Cryptocurrency; Bivariate Diagonal BEKK; Bivariate Diagonal VECH; MGARCH; Volatility; Business and Economics;

    Sammanfattning : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. LÄS MER

  3. 17. Univariate GARCH models with realized variance

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Carl Börjesson; Ossian Löhnn; [2019]
    Nyckelord :GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

    Sammanfattning : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. LÄS MER

  4. 18. Rank-Based Selection Strategies for Forecast Combinations: An Evaluation Study

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Magnus Svensson; [2019]
    Nyckelord :time series forecasting; combining forecasts; forecast combination; M3-Competition; forecast accuracy; evaluation study; model confidence set; Mathematics and Statistics;

    Sammanfattning : This thesis evaluates four of the most popular methods for combining time series forecasts. One aspect that is often overlooked in the literature is the choice of which forecasts to include in a forecast combination. LÄS MER

  5. 19. Return Predictability: Can correlation effectively predict returns?

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

    Författare :Tor Fryer Petersson; Stina Karlsson; [2018]
    Nyckelord :CAPM; Average correlation; Risk-reward trade-off; Return predictability; Roll Critique;

    Sammanfattning : Previous research shows that index variance can be decomposed into average constituent correlation and average constituent variance. These studies hold that the average correlation captures features of the aggregate market risk and under a risk-reward relationship is a predictor of future excess returns. LÄS MER

  7. 20. The Impact Of Wind Energy Development On Swedish Elspot Day-Ahead Prices

    Magister-uppsats, Uppsala universitet/Institutionen för geovetenskaper

    Författare :Ata Kasimoglu; [2018]
    Nyckelord :renewable energy; price prediction; artificial neural network; energy market; Nord Pool;

    Sammanfattning : The rapid development of wind energy in Sweden created a volatile environment for the electricity market. Variance in the daily prices and the reductions of the average prices over the years due to the merit order effect of intermittent wind energy resulted in increased unpredictability in financial returns, which led to many wind projects being cancelled. LÄS MER