Essays about: "APARCH"
Showing result 1 - 5 of 10 essays containing the word APARCH.
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1. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. READ MORE
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2. Volatility Forecasting Performance of GARCH Models : A Study on Nordic Indices During COVID-19
University essay from Umeå universitet/NationalekonomiAbstract : Volatility forecasting is an important tool in financial economics such as risk management, asset allocation and option pricing since an understanding of future volatility can help professional and private investors minimize their losses. The purpose of this paper is to investigate the volatility forecasting performance of symmetric and asymmetric GARCH models on Nordic indices during COVID-19. READ MORE
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3. 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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4. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk
University essay from Uppsala universitet/Statistiska institutionenAbstract : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. READ MORE
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5. Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this study we compare different volatility models on their ability to forecast one day ahead volatility and value-at-risk (VaR). We compare five different GARCH specifications: GARCH, IGARCH, GJR-GARCH, EGARCH and APARCH, as well as EWMA, each paired with six different conditional distributions. READ MORE