Essays about: "BIC"

Showing result 1 - 5 of 34 essays containing the word BIC.

  1. 1. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether

    University essay from Göteborgs universitet/Graduate School

    Author : Johannes Marmdal; Adam Törnqvist; [2023-06-29]
    Keywords : Forecast; Volatility; Ether; GARCH; EWMA; SMA;

    Abstract : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. READ MORE

  3. 2. Exchange Rate Analysis Between the U.S. Dollar and the Japanese Yen

    University essay from Uppsala universitet/Statistik, AI och data science

    Author : Yuta Sakiyama; [2023]
    Keywords : ;

    Abstract : The exchange data between the U.S. Dollar and Japanese Yen are analyzed with three models called the Auto-Regressive Integrated Moving- Average (ARIMA) model, the Generalized Auto-Regressive Conditional Heteroscedastic (GARCH) model, and the Fractional Differencing model. READ MORE

  4. 3. Estimating stellar limb darkening using exoplanet transits

    University essay from Lunds universitet/Astrofysik; Lunds universitet/Fysiska institutionen

    Author : Sora Ishida; [2023]
    Keywords : Limb-darkening; CHEOPS; Transit; Exoplanet; PYCHEOPS; Physics and Astronomy;

    Abstract : The brightness of the stars is not uniform over the surface as it varies depending on the wavelength and the atmosphere that the light propagates. Limb darkening is an optical effect caused by a decrease in brightness of the star towards the edge. 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. Volatility forecasting of green and non-green cryptocurrencies. Is there a difference? : A quantitative study evaluating GARCH-models forecast accuracy

    University essay from Umeå universitet/Nationalekonomi

    Author : Agnes Lantto; [2022]
    Keywords : ;

    Abstract : Cryptocurrencies are rapidly growing. The energy consumption required to be mined is huge but differs between mining processes. This thesis proposes a definition of green and non-green cryptocurrencies depending on the mining process. Green cryptocurrencies are mined through Proof of Stake and non-green are mined trough Proof of Work. READ MORE