Essays about: "ARMA-GARCH"

Showing result 1 - 5 of 11 essays containing the word ARMA-GARCH.

  1. 1. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations

    University essay from Lunds universitet/Matematisk statistik

    Author : Vilhelm Samuelsson; [2023]
    Keywords : Exchange rates; Equity markets; Volatility; ARMA-GARCH; Copula; Exchange rate determination; Safe-haven; Portfolio rebalancing; Return chasing; Mathematics and Statistics;

    Abstract : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. READ MORE

  3. 2. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

  4. 3. Is the Phillips Curve Valid for ASEAN? : A Time-Varying Approach

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Simon Wilfer; Philip Wikström; [2021]
    Keywords : ASEAN; Phillips Curve; Inflation Dynamics; ARMA-GARCH; Time-Varying; Financial Integration; Spillover; Monetary Policy;

    Abstract : The primary purpose of this thesis was to investigate if the modern Phillips Curve is valid for ASEAN five (Indonesia, Malaysia, Thailand, Singapore and Philippines) countries using a time-varying approach in the form of an ARMA-GARCH model. The method enables us to investigate how the inflation volatility reacts to economic shocks and if its history can predict the conditional variance of inflation. READ MORE

  5. 4. Forecasting Call Option prices : A Quantitative Study in Financial Economics

    University essay from Umeå universitet/Nationalekonomi

    Author : Roger Lundmark; [2020]
    Keywords : ;

    Abstract : It is not uncommon that the theoretical price of a model is different from the market price due to various disturbances. The purpose of this study was to analyze how well the original Black-Scholes-Merton model performs accurate forecasts of the option price, where the underlying asset was the NIFTY50 stock index. READ MORE

  6. 5. Risk Modeling of Sustainable Mutual Funds Using GARCH Time Series

    University essay from KTH/Matematisk statistik

    Author : Erik Malmgren; Annie Zhang; [2020]
    Keywords : GARCH; ARMA-GARCH; Risk Modeling; Time Series; Volatility; Value at Risk; Sustainable Investments; SRI; ESG; Mutual Funds; Morningstar; GARCH; ARMA-GARCH; Riskmodellering; Tidsserie; Volatilitet; Value at risk; Hållbara investeringar; SRI; ESG; Fonder; Morningstar;

    Abstract : The demand for sustainable investments has seen an increase in recent years. There is considerable literature covering backtesting of the performance and risk of socially responsible investments (SRI) compared to conventional investments. READ MORE