Essays about: "GJRGARCH"
Found 3 essays containing the word GJRGARCH.
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1. Risk measurement of cryptocurrencies using value at risk and expected shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). READ MORE
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2. Univariate GARCH models with realized variance
University essay from Uppsala universitet/Statistiska institutionenAbstract : 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. READ MORE
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3. On stock return prediction with LSTM networks
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Artificial neural networks are, again, on the rise. The decreasing costs of computing power and the availability of big data together with advancements of neural network theory have made this possible. READ MORE