Essays about: "stock index GARCH"

Showing result 1 - 5 of 45 essays containing the words stock index GARCH.

  1. 1. Into the Trading Book: Estimating Expected Shortfall

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Robin Eric Schmutz; Leonard Schneider; [2023]
    Keywords : Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

    Abstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE

  3. 2. Investing in Bitcoin and Ethereum during stock market turmoil - a Swedish Perspective. : A study on the hedging, safe-haven, and diversification characteristics of Bitcoin, Ethereum and Gold against the OMX30 during the COVID-19 crisis and Russian invasion of Ukraine.

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Erik Larsson; Lukas Johansson; [2022]
    Keywords : DCC-GARCH; Bitcoin; Ethereum; Gold; Safe-Haven; Hedging; Diversification; COVID-19; Russia; Ukraine;

    Abstract : The world has faced tumultuous times in recent years with the COVID-19 pandemic as well as the Russian invasion of Ukraine causing the stock market to be unusually volatile. During such times investors tend to flee to alternative investment opportunities that are uncorrelated or negatively correlated with the stock market, called safe-haven assets. READ MORE

  4. 3. Stock Market Volatility in the Context of Covid-19

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Liu Kunyu; [2022]
    Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

    Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

  5. 4. Stock Price Prediction Using Machine Learning

    University essay from Södertörns högskola/Nationalekonomi

    Author : Yixin Guo; [2022]
    Keywords : Machine Learning; Stock Price; Time Series Data; Deep Learning;

    Abstract : Accurate prediction of stock prices plays an increasingly prominent role in the stock market where returns and risks fluctuate wildly, and both financial institutions and regulatory authorities have paid sufficient attention to it. As a method of asset allocation, stocks have always been favored by investors because of their high returns. READ MORE

  6. 5. Comparison of impact on stock market volatility by COVID-19 and the 2008 financial crisis

    University essay from Umeå universitet/Nationalekonomi

    Author : Anand Enkhtur; [2022]
    Keywords : ;

    Abstract : The aim of this thesis is to analyse the volatility of 11 sectorial stock return data of S&P 500 Index during the 2008 global financial crisis and the recent COVID-19 global pandemic. S&P 500 is a large stock market index that tracks the performance of 500 companies that are some of the largest in the world. READ MORE