Essays about: "ARMA"

Showing result 1 - 5 of 41 essays containing the word ARMA.

  1. 1. Is the Phillips Curve Valid for ASEAN? : A Time-Varying Approach

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Simon Wilfer; Philip Wikström; [2021]
    Keywords : ASEAN; Phillips Curve; Inflation Dynamics; ARMA-GARCH; Time-Varying; Financial Integration; Spillover; Monetary Policy;

    Abstract : The primary purpose of this thesis was to investigate if the modern Phillips Curve is valid for ASEAN five (Indonesia, Malaysia, Thailand, Singapore and Philippines) countries using a time-varying approach in the form of an ARMA-GARCH model. The method enables us to investigate how the inflation volatility reacts to economic shocks and if its history can predict the conditional variance of inflation. READ MORE

  2. 2. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Edvin Wallin; Timothy Chapman; [2021]
    Keywords : Heteroscedasticity; GARCH 1; 1 ; ARMA p; q ; Skewed student s t-distribution; Regression; Fama and French Five-factor model;

    Abstract : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. READ MORE

  3. 3. 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

  4. 4. Risk Modeling of Sustainable Mutual Funds Using GARCH Time Series

    University essay from KTH/Matematisk statistik

    Author : Erik Malmgren; Annie Zhang; [2020]
    Keywords : GARCH; ARMA-GARCH; Risk Modeling; Time Series; Volatility; Value at Risk; Sustainable Investments; SRI; ESG; Mutual Funds; Morningstar; GARCH; ARMA-GARCH; Riskmodellering; Tidsserie; Volatilitet; Value at risk; Hållbara investeringar; SRI; ESG; Fonder; Morningstar;

    Abstract : The demand for sustainable investments has seen an increase in recent years. There is considerable literature covering backtesting of the performance and risk of socially responsible investments (SRI) compared to conventional investments. READ MORE

  5. 5. VALUE-AT-RISK ESTIMATION USING GARCH MODELS FOR THE CHINESE MAINLAND STOCK MARKET

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Dongya Zhou; [2020]
    Keywords : Volatility; Exponential-GARCH; VaR; Dynamic correlation;

    Abstract : With the acceleration of economic globalization, the immature Chinese mainland stock market is gradually associated with the stock markets of other countries. This paper predict the return rate of Chinese mainland stock market using several models from GARCH family, test the predictability by calculating Value-at-Risk, also capture the dynamic correlation between other fifive countries or region and mainland China by DCC-GARCH model. READ MORE