Essays about: "Asymmetric GARCH"

Showing result 1 - 5 of 35 essays containing the words Asymmetric GARCH.

  1. 1. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

  3. 2. An investigation of Sustainable Assets, Equitiesand the Bond market during the Globalpandemic, COVID-19

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

    Author : Vincent Rahm; Frej de la Rosa; [2022]
    Keywords : Conventional bonds; COVID-19; DCC-GARCH; ESG; Green bond; S P500; Portfolio optimization; volatility; MSCI; Sustainable investments; US 10yr; Treasuries; Equities;

    Abstract : ESG investing has been a hot topic during several years and there have been numerousstudies examining the relationship between sustainable assets and non-sustainable assetsincluding green bonds, social bonds, environmental bonds, ESG-bonds and ESG indices;conventional bonds, S&P 500, common stocks and non-ESG indices. During negative marketshocks several ESG stocks and indices have been shown to outperform common stocks andindices. READ MORE

  4. 3. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hannes Wiklund; [2022]
    Keywords : GARCH; Model Confidence Set; Bitcoin; Volatility Forecasting; Business and Economics;

    Abstract : 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

  5. 4. Comparison of impact on stock market volatility by COVID-19 and the 2008 financial crisis

    University essay from Umeå universitet/Nationalekonomi

    Author : Anand Enkhtur; [2022]
    Keywords : ;

    Abstract : The aim of this thesis is to analyse the volatility of 11 sectorial stock return data of S&P 500 Index during the 2008 global financial crisis and the recent COVID-19 global pandemic. S&P 500 is a large stock market index that tracks the performance of 500 companies that are some of the largest in the world. READ MORE

  6. 5. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

    University essay from Göteborgs universitet/Graduate School

    Author : My Phung; [2021-06-30]
    Keywords : stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Abstract : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. READ MORE