Sökning: "volatility test"
Visar resultat 1 - 5 av 190 uppsatser innehållade orden volatility test.
1. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on ReturnsMaster-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. LÄS MER
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. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of EtherMaster-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. LÄS MER
- Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : LIBOR has been the dominant benchmark rate in the American market for pricing financial instruments. In 2012, the manipulation of LIBOR rates was uncovered, necessitating a change. SOFR was introduced as an alternative reference rate to replace LIBOR as the standard for pricing financial instruments. LÄS MER
5. The effect of covid-19 announcement on sustainable investment portfolios : Observation of the flight-to-quality phenomenonMagister-uppsats, Jönköping University/Internationella Handelshögskolan
Sammanfattning : The economic impact of the COVID-19 pandemic is still an ongoing topic, broadly analysed and discussed in many studies. Recent articles state that sustainable assets can offer return volatility resilience during demand shock events and, in some cases, provide higher returns than their unsustainable counterparts. LÄS MER