Essays about: "AR-GARCH"

Found 3 essays containing the word AR-GARCH.

1. 1. Forecasting Call Option prices : A Quantitative Study in Financial Economics

   University essay from Umeå universitet/Nationalekonomi

   Author : Roger Lundmark; [2020]
   Keywords : ;

   Abstract : It is not uncommon that the theoretical price of a model is different from the market price due to various disturbances. The purpose of this study was to analyze how well the original Black-Scholes-Merton model performs accurate forecasts of the option price, where the underlying asset was the NIFTY50 stock index. READ MORE

3. 2. Push it to the limit - Testing the usefulness of Extreme Value Theory in electricity markets

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Fulgentiusson; [2012]
   Keywords : Electricity; Extreme Value Theory; Peaks Over Threshold; Block Maxima; Value at Risk.; Business and Economics;

   Abstract : We set out to investigate whether the methodologies used in extreme value analysis are applicable in estimating Value at Risk (VaR) for the spot price returns of the European Energy Exchange (EEX). An initial inspection of hourly data reveals a volatile behaviour where returns of extreme proportions occur frequently. READ MORE

4. 3. Threshold Detection in Autoregressive Non-linear Models

   University essay from Lunds universitet/Statistiska institutionen

   Author : Jacob Järås; Azadeh Mohammadipour Gishani; [2010]
   Keywords : Threshold Autoregressive Model; Non-linear Time Series; GARCH.; ARCH; Mathematics and Statistics;

   Abstract : In this paper we fit non-linear models. We build Threshold Autoregressive (TAR) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models and estimate the parameters associated to the models, e.g. the threshold for the TAR model. READ MORE