Sökning: "nationalekonomi garch"

Visar resultat 1 - 5 av 75 uppsatser innehållade orden nationalekonomi garch.

  1. 1. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

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

    Författare :Khaled Jrideh; [2023-05-26]
    Nyckelord :;

    Sammanfattning : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. LÄS MER

  3. 2. 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 fakulteten

    Författare :Sebastian Mortimore; William Sturehed; [2023]
    Nyckelord :GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

    Sammanfattning : 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. 3. Analysis of 2022 Demand Response Events in California: Baseline Modelling using the SARIMAX-GARCH Model

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Norbert Oros; [2023]
    Nyckelord :Demand response; Energy modelling; Electricity demand;

    Sammanfattning : This study investigates the use of a combination of SARIMAX and GARCH models to create baselines for electricity demand, generation, and interchange in order to analyze deviations during demand response events. Demand response plays and will continue to play a crucial role in the management of the electric grid during periods of extreme imbalances. LÄS MER

  5. 4. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach

    Magister-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Författare :Joakim Mårs; Tobias Stark; [2023]
    Nyckelord :;

    Sammanfattning : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. LÄS MER

  7. 5. Wind Power and Electricity Price Dynamics : An Empirical Analysis on the Swedish Day-Ahead Market

    Kandidat-uppsats, Umeå universitet/Nationalekonomi

    Författare :Maurus Grond; [2023]
    Nyckelord :;

    Sammanfattning : Facing large-scale electrification, Swedish electricity markets are projected to undergo fundamental changes over the next decades. With climate protection goals in mind, wind-powered electricity will play a crucial role in supplying tomorrow’s electricity to Swedish households and industry. LÄS MER