Sökning: "out-of-sample forecasts"

Visar resultat 1 - 5 av 46 uppsatser innehållade orden out-of-sample forecasts.

1. 1. Volatility Forecasting - A comparative study of different forecasting models.

   Kandidat-uppsats,

   Författare :Emil Sturesson; Anton Wennström; [2023-06-29]
   Nyckelord :Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

   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

3. 2. Forecasting Monthly Swedish Air Traveler Volumes

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Mark Becker; Peter Jarvis; [2023]
   Nyckelord :Forecasting; SARIMA; Neural network autoregression; Exponential smoothing; the Prophet model; Random Walk; MAE; MAPE; RMSE;

   Sammanfattning : In this paper we conduct an out-of-sample forecasting exercise for monthly Swedish air traveler volumes. The models considered are multiplicative seasonal ARIMA, Neural network autoregression, Exponential smoothing, the Prophet model and a Random Walk as a benchmark model. LÄS MER

4. 3. Forecasting Swedish Inflation and Policy Rates Using Random Forests and Bullard's Modernized Taylor Rule

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Vladimir Bondarenko; [2023]
   Nyckelord :Inflation Forecasting; Interest Rate Forecasting; Modernized Taylor Rule; Random Forest;

   Sammanfattning : This paper examines whether the Riksbank could have predicted the historic inflationary surge in Sweden in the aftermath of the Covid-19 pandemic and warned the Swedish public prior to embarking on the most aggressive policy rate-hike cycle since the global financial crisis. I study the matter in two steps. LÄS MER

5. 4. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Simon Wahlberg; [2022]
   Nyckelord :RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Sammanfattning : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. LÄS MER

7. 5. The efficiency of Hyndman-Ullah methods in case of populations with abnormal short-term increases of mortality rates due to wars and pandemics.

   Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Författare :Teo Raspudić; [2022]
   Nyckelord :;

   Sammanfattning : This report is written with the goal of analyzing the efficiency of the Hyndman-Ullah (HU) and weighted Hyndman-Ullah (wHU) methods when working with the populations that suffered higher mortalities due to the wars and pandemics. Accordingly, the HU and wHU methods are applied to the training sets containing outlying years. LÄS MER