Essays about: "Amadeus Wennström"

Found 1 essay containing the words Amadeus Wennström.

  1. 1. Volatility Forecasting Performance: Evaluation of GARCH type volatility models on Nordic equity indices

    University essay from KTH/Matematisk statistik

    Author : Amadeus Wennström; [2014]
    Keywords : Conditional Variance; ARCH; GARCH; EGARCH; GJR-GARCH; volatility forecasting; Parkinson’s estimator;

    Abstract : This thesis examines the volatility forecasting performance of six commonly used forecasting models; the simple moving average, the exponentially weighted moving average, the ARCH model, the GARCH model, the EGARCH model and the GJR-GARCH model. The dataset used in this report are three different Nordic equity indices, OMXS30, OMXC20 and OMXH25. READ MORE