Essays about: "ARCH GARCH forecasting"
Showing result 1 - 5 of 22 essays containing the words ARCH GARCH forecasting.
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1. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenAbstract : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. READ MORE
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2. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19
University essay from Uppsala universitet/Nationalekonomiska institutionenAbstract : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. READ MORE
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3. 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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4. Statistical modelling of Bitcoin volatility : Has the sanctions on Russia had any effect on Bitcoin?
University essay from Stockholms universitet/Statistiska institutionenAbstract : This thesis aims to fit and compare different time series models namely the ARIMA-model, conditional heteroscedastic models and lastly a dynamic regression model with ARIMA error to Bitcoin closing price data that spans over 5 consecutive years. The purpose is to evaluate if the sanction on Russia had any effect on the cryptocurrency Bitcoin. READ MORE
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5. The Underlying Factors of Ethereum Price Stability : An Investigation on What Underlying Factors Influence the Volatility of the Returns of Ethereum
University essay from Jönköping University/Internationella HandelshögskolanAbstract : Rising levels of uncertainty and distrust of governments and mass printing of fiat currencies in conjunction with pandemic-related events have led to a rotation into different assets such as cryptos. Without solid fundamentals, cryptocurrencies have spiked in price levels in the last few years; while popularity rises it remains heavily misunderstood. READ MORE