Essays about: "forecasting volatility in stock exchange"
Showing result 1 - 5 of 6 essays containing the words forecasting volatility in stock exchange.
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1. Predicting the Future with Stock Market Liquidity: A Study of the Swedish Stock Market Liquidity as a Leading Indicator of the Future Business Cycle
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Using daily stock data from the Stockholm Stock Exchange, this paper investigates the relationship between stock market liquidity and the real economy. We find restricted support for stock market liquidity containing leading information about real economic growth. READ MORE
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2. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average? The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. READ MORE
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3. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknikAbstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE
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4. Modeling and forecasting volatility of Shanghai Stock Exchange with GARCH family models
University essay from Statistiska institutionenAbstract : This paper discusses the performance of modeling and forecasting volatility ofdaily stock returns of A-shares in Shanghai Stock Exchange. The volatility is modeledby GARCH family models which are GARCH, EGARCH and GJR-GARCHmodels with three distributions, namely Gaussian distribution, student-t distributionand generalized error distribution (GED). READ MORE
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5. Forecasting Volatility - A Comparison Study of Model Based Forecasts and Implied Volatility
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Purpose: The purpose is to investigate which of the selected models that forecasts the out-of-sample data most accurate and whether the model based estimators make better forecasts than the implied volatility. Methodology: Trough in-sample data from a Swedish stock index return series and a exchange rate return series, different forecasting models are evaluated to see which one that predicts the out-of-sample realized volatility most accurate. READ MORE
