Essays about: "Anton Wennström"

Found 1 essay containing the words Anton Wennström.

  1. 1. Volatility Forecasting - A comparative study of different forecasting models.

    University essay from

    Author : Emil Sturesson; Anton Wennström; [2023-06-29]
    Keywords : Volatility; GARCH; EGARCH; t-GAS; HAR-RV; Realized GARCH; Volatility Forecasting; Volatility Modelling;

    Abstract : This study evaluates the out-of-sample forecasting performance of different volatility mod- els. When applied to XACT OMXS30, we use GARCH(1,1), EGARCH(1,1), and t- GAS(1,1) to forecast squared daily returns while Realized GARCH(1,1) and HAR-RV are used to forecast Realized Variance. READ MORE