Essays about: "Bujar Bunjaku"

Found 1 essay containing the words Bujar Bunjaku.

  1. 1. 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