Essays about: "GARCH parameters"
Showing result 1 - 5 of 19 essays containing the words GARCH parameters.
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1. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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. READ MORE
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2. Modeling asymmetry in volatility response - non-Gaussian innovations approach
University essay from Lunds universitet/Statistiska institutionenAbstract : This thesis is an explorative note on the non-Gaussian innovations of the volatility process. More specifically, the thesis investigates if the decomposition of the Standard Classical Laplace (SCL) distribution to a difference of two exponential is a valid alternative to modelling the asymmetric volatility processes, taking volatility clustering, the leverage effect and asymmetric response in volatility into account. READ MORE
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3. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. READ MORE
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4. Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. READ MORE
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5. MIDAS and GARCH; A comparison of predictive ability using real world data
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : I compare GARCH and MIDAS one-day-ahead forecasts of volatility using high frequency data from the CRSP U.S. Mega Cap Index. The MIDAS models are estimated using high frequency data sampled at 5, 15 and 30 minute intervals and estimated using both exponential Almon and beta lag distributions with two shape parameters. READ MORE
