Essays about: "Conditional Heteroscedasticity"
Showing result 1 - 5 of 16 essays containing the words Conditional Heteroscedasticity.
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1. The Sensitivity of Banks' Stock Returns to the interest rate risk and exchange rate risk: A Case Study of Germany and South Africa
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of this paper is to interrogate the single and joint effect interest and exchange rate movements have on banks’ stock returns. This study also aims to compare the volatility of the banks’ stock returns for countries in different markets using both the short and long-term interest rate and the respective exchange rates. READ MORE
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2. Business analytics tools for data collection and analysis of COVID-19
University essay from Linköpings universitet/Statistik och maskininlärningAbstract : The pandemic that struck the entire world 2020 caused by the SARS-CoV-2 (COVID-19) virus, will have an enormous interest for statistical and economical analytics for a long time. While the pandemic of 2020 is not the first that struck the entire world, it is the first pandemic in history where the data were gathered to this extent. READ MORE
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3. Calendar Anomalies in the Nordic Stock Markets : A quantitative study of the Sell in May effect, January effect & Monthly Anomalies
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Abstract : This study has applied a geographical perspective with the ambition of evaluating the presence of the Sell in May effect, January effect and monthly anomalies in the Nordic stock markets. In extension the study examines the relationship between corporate size and the returns of calendar anomalies. READ MORE
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4. Volatility Evaluation Using Conditional Heteroscedasticity Models on Bitcoin, Ethereum and Ripple
University essay from KTH/Matematisk statistikAbstract : This study examines and compares the volatility in sample fit and out of sample forecast of four different heteroscedasticity models, namely ARCH, GARCH, EGARCH and GJR-GARCH applied to Bitcoin, Ethereum and Ripple. The models are fitted over the period from 2016-01-01 to 2019-01-01 and then used to obtain one day rolling forecasts during the period from 2018-01-01 to 2019-01-01. READ MORE
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5. Predicting Uncertainty in Financial Markets : -An empirical study on ARCH-class models ability to estimate Value at Risk
University essay from Uppsala universitet/Statistiska institutionenAbstract : Value at Risk has over the last couple of decades become one of the most widely used measures of market risk. Several methods to compute this measure have been suggested. READ MORE