Essays about: "APGARCH"

Found 2 essays containing the word APGARCH.

1. 1. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Peter Johansson; [2019-01-22]
   Keywords : Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

   Abstract : 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

3. 2. Evaluating Switching GARCH Volatility Forecasts During the Recent Financial Crisis

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Viktor Augustsson; [2014]
   Keywords : MRS-GARCH; Out of Sample Evaluation; DM Test; Bombay Sensex; Standard Poor s 500; Business and Economics;

   Abstract : Forecasting volatility is a fundamental topic in in both academic and applied financial economics. Different GARCH-specifications are by far the most popular model based approach used for this purpose. This thesis evaluates the forecast accuracy of some specific GARCH-models; GARCH, EGARCH, APGARCH and MRS-GARCH. READ MORE