Sökning: "multivariate garch bekk"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden multivariate garch bekk.

  1. 1. 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. 2. Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application

    Kandidat-uppsats, Nationalekonomiska institutionen; Statistiska institutionen

    Författare :Joel Hartman; Jan Sedlak; [2013]
    Nyckelord :multivariate GARCH; exchange rates; conditional correlation; forecasting; Value-at-Risk;

    Sammanfattning : The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. LÄS MER

  4. 3. BEKK-modellens ekonomiska värde i en dynamisk portföljstrategi

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :David Grunditz; [2011]
    Nyckelord :ARCH GARCH; Multivariate GARCH; MGARCH; BEKK; EWMA; volatility timing; Sharpe-ratio; nytta; kvadratisk nytta; ekonomiskt värde; Business and Economics;

    Sammanfattning : Denna uppsats presenterar en utredning av det ekonomiska förhållande mellan två flerdimensionella prediktionsmodeller av typen EWMA och BEKK, som är en flerdimensionell GARCH-modell. Undersökningen görs i en portföljvalskontext där varje modell kopplas till en dynamisk portföljstrategi, som allokerar portföljvikterna utifrån volatility timing. LÄS MER

  5. 4. Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Wenjing Su; Yiyu Huang; [2010]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The purpose of this thesis is to investigate different formulations of multivariate GARCH models and to apply two of the popular ones – the BEKK- GARCH model and the DCC- GARCH model – in evaluating the volatility of a portfolio of zero-coupon bonds. Multivariate GARCH models are considered as one of the most useful tools for analyzing and forecasting the volatility of time series when volatility fluctuates over time. LÄS MER

  7. 5. Dynamic linkages between China and US equity markets under two recent financial crises

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Yuntan Sun; Ya Xu; [2010]
    Nyckelord :Equity markets linkages; Financial Crisis; Return causality; Volatility spillovers; MGARCH – BEKK model.; Business and Economics;

    Sammanfattning : This paper explores and compares the effects of two financial crises (the 1997 Asian Financial Crisis and the 2007-2010 Subprime Financial Crisis) on short-run and long-run linkages between equity markets in China (mainland and Hong Kong) and US. In particular, we not only investigate the return causality relationships by applying vector autoregressive (VAR) analysis, but we also examine the volatility spillover effects by using a multivariate GARCH - BEKK model. LÄS MER