Essays about: "VECH"

Found 3 essays containing the word VECH.

  1. 1. Volatility forecasting for cryptocurrencies under a heavy-tailed distribution

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Diego Mauricio Vargas Pico; Alina Bylkova; [2019]
    Keywords : Cryptocurrency; Bivariate Diagonal BEKK; Bivariate Diagonal VECH; MGARCH; Volatility; Business and Economics;

    Abstract : In the recent years, cryptocurrencies have gained popularity and have experienced high price volatility. This essay pretends to examine how the multivariate GARCH models predict the volatility of these digital currencies and what implications exist if we consider the correlations among them to forecast their volatility. READ MORE

  3. 2. Risk Management for Swedish Farmers - An empirical study on hedge ratios for Swedish wheat

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pierre Andersson; [2016]
    Keywords : Dynamic hedge ratio; Wheat futures; GARCH; BEKK; VECH; Business and Economics;

    Abstract : The paper investigates data on purchasing price of wheat from Swedish grain buyer Lantmännen and MATIF future contracts on milling wheat in an attempt to replicate the conditions for a Swedish farmer trying to manage his risk on wheat by trading future contracts on the MATIF exchange. Two static linear regressions and four dynamic GARCH models are employed on a sample of 1679 daily returns and 339 weekly returns ranging from 2009-07-01 to 2016-01-11. READ MORE

  4. 3. Estimation of Time-Varying Hedge Ratios for Coffee

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Alejandro Esteban Lombana Betancourt; Lena Al Azzawi; [2013]
    Keywords : Hedge ratio; basis risk; GARCH; BEKK; VECH; futures contracts; coffee; Business and Economics;

    Abstract : This paper will gain better insights of how to calculate the hedge ratio to reduce the basis risk and protect against the price volatility, which is caused by the mismatch between the spot and future prices. This will be done by calculating the time-varying hedge ratio for the Colombian mild Arabica coffee, using two BGARCH models, the diagonal BEKK and diagonal VECH. READ MORE