Essays about: "ARCH-family"

Found 4 essays containing the word ARCH-family.

  1. 1. Forecasting Volatility on Swedish Stock Returns : A study comparing the performance of different volatility forecasting models

    University essay from Umeå universitet/Nationalekonomi

    Author : Emil Collin; [2019]
    Keywords : ;

    Abstract : This study aims to find the model which generates the best volatility forecasts of single stock returns on the Swedish Market. The models are estimated using an in-sample dataset of daily observations from 2010.01.01 to 2018. READ MORE

  3. 2. Forecasting the Volatility in Financial Assets using Conditional Variance Models

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jesper Swanson; Hugo Hultman; [2017]
    Keywords : Volatility Forecasting; Conditional Variance; ARCH; GARCH; IGARCH; EGARCH; GJR-GARCH; Business and Economics;

    Abstract : This thesis examines multiple ARCH-family models' volatility forecasting performance on the London Bullion Market Gold price, the OMXS30, and the USD/EUR exchange rate. Further, this thesis uses two different time periods to exploit differences and similarities in the forecast accuracy among the conditional variance models. READ MORE

  4. 3. Forecasting Volatility - A Comparison Study of Model Based Forecasts and Implied Volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Armin Näsholm; Bujar Bunjaku; [2010]
    Keywords : evaluation models ; realized volatility; implied volatility; ARMA; ARCH-family; Volatility forecast; Business and Economics;

    Abstract : Purpose: The purpose is to investigate which of the selected models that forecasts the out-of-sample data most accurate and whether the model based estimators make better forecasts than the implied volatility. Methodology: Trough in-sample data from a Swedish stock index return series and a exchange rate return series, different forecasting models are evaluated to see which one that predicts the out-of-sample realized volatility most accurate. READ MORE

  5. 4. Index Futures Trading and Spot Market Volatility:Evidence from the Swedish Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ming Li; Andrew Carlson; [2008]
    Keywords : GARCH; volatility; Futures index trading; Swedish market; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This paper investigates the effect of the introduction of the Swedish OMXS 30 Index Futures Market on the volatility of the OMXS 30 Index Spot Market. The futures market was introduced in April 1987 and this paper will use the ARCH family of models to test if spot market volatility increased, decreased, or stayed the same in the period after the futures were introduced. READ MORE