Sökning: "rugarch"

Hittade 1 uppsats innehållade ordet rugarch.

  1. 1. Univariate GARCH models with realized variance

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen; 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